Numerical Modeling of Earth Systems

An introduction to computational methods with focus on

solid Earth applications of continuum mechanics
Lecture notes for USC GEOL557, v. 1.1.2

Thorsten W. Becker
Department of Earth Sciences,
University of Southern California, Los Angeles CA, USA

and

Boris J. P. Kaus
University of Mainz, Germany

October 20, 2014

Preface
1.1 Purpose of these lecture notes
1.2 Acknowledgments . . . . . .
1.3 Abbreviations used . . . . . .
1.4 Typesetting conventions . . .
1.5 Other resources . . . . . . . .

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Introduction

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Introduction to numerical geodynamics

2.1 Numerical methods in the Earth Sciences . . . . . . . . . . . . . . . . . . .
2.1.1 Philosophy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.1.2 Goals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.1.3 Overview of applications of numerical methods for Earth sciences
2.1.4 Classification of numerical problems & solution methods . . . . . .
2.2 Examples of applications for numerical methods . . . . . . . . . . . . . . .
2.2.1 Linear inverse problems . . . . . . . . . . . . . . . . . . . . . . . . .
2.2.2 Ordinary differential equations . . . . . . . . . . . . . . . . . . . . .
2.2.3 Partial differential equations . . . . . . . . . . . . . . . . . . . . . .
2.2.4 Numerical solution methods . . . . . . . . . . . . . . . . . . . . . .
2.3 Computing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.3.1 Hardware issues . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.3.2 Software - Computer Languages . . . . . . . . . . . . . . . . . . . .
2.3.3 Elements of a computer program . . . . . . . . . . . . . . . . . . . .
2.3.4 Guiding philosophy in writing a computer program . . . . . . . .
2.3.5 Guidelines for writing efficient code . . . . . . . . . . . . . . . . . .
2.4 Scaling analysis and non-dimensional numbers . . . . . . . . . . . . . . . .
2.4.1 Scaling analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.4.2 Non-dimensionalization . . . . . . . . . . . . . . . . . . . . . . . . .
2.4.3 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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Ordinary differential equations

Solution of ordinary differential equations
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.1.1 Initial Value Problems . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.2 Solution of initial value problem . . . . . . . . . . . . . . . . . . . . . . . . .
3.2.1 Two-point Boundary Value Problems . . . . . . . . . . . . . . . . . .
3.3 Exercise: Solving ODEs Lorenz equations . . . . . . . . . . . . . . . . . . .
3.3.1 The Lorenz equations solved with simple Runge Kutta . . . . . . . .
3.3.2 Digression for background not essential to solving this problem set

USC GEOL557: Modeling Earth Systems

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3.3.3
3.3.4

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Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
Additional examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

Partial differential equations

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Finite differences
4.1 Introduction to the finite difference method . . . . . . . . . . . . . . . . . .
4.1.1 Finite differences and Taylor series expansions . . . . . . . . . . . .
4.1.2 Finite difference approximations overview . . . . . . . . . . . . . .
4.1.3 Derivatives with variable coefficients . . . . . . . . . . . . . . . . .
4.2 Finite difference example: 1D explicit heat equation . . . . . . . . . . . . .
4.2.1 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.3 Implicit FD schemes and boundary conditions . . . . . . . . . . . . . . . .
4.3.1 Time derivatives explicit vrs. implicit . . . . . . . . . . . . . . . .
4.4 Finite difference example: 1D implicit heat equation . . . . . . . . . . . . .
4.4.1 Boundary conditions Neumann and Dirichlet . . . . . . . . . . .
4.4.2 Solving an implicit finite difference scheme . . . . . . . . . . . . . .
4.4.3 Matlab implementation . . . . . . . . . . . . . . . . . . . . . . . . .
4.4.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.5 Derivation of flux boundary conditions (fictitious boundary points) . . . .
4.6 Non-linearities with FD methods . . . . . . . . . . . . . . . . . . . . . . . .
4.6.1 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.7 Two-dimensional heat equation with FD . . . . . . . . . . . . . . . . . . . .
4.7.1 Explicit method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.7.2 Fully implicit method . . . . . . . . . . . . . . . . . . . . . . . . . .
4.7.3 Other methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.8 Exercise: 2D heat equation with FD . . . . . . . . . . . . . . . . . . . . . . .
4.9 Advection equations with FD . . . . . . . . . . . . . . . . . . . . . . . . . .
4.9.1 The diffusion-advection (energy) equation for temperature in convection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.9.2 Advection (transport equations) . . . . . . . . . . . . . . . . . . . .
4.9.3 Advection and diffusion: operator splitting . . . . . . . . . . . . . .
4.10 2D Stokes equations on a staggered grid using primitive variables . . . . .
4.10.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.10.2 Governing equations . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.10.3 Exercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.11 Stokes equations with FD on a staggered grid using the stream-function
approach. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.11.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.11.2 Governing equations . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.11.3 Exercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.12 Wave propagation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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4.12.1 Acoustic problem with standard grid . . . . . . . . . . . . . . . . . . 104

4.12.2 Elastic wave problem with staggered grid . . . . . . . . . . . . . . . . 106
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Finite elements
5.1 Introduction to finite element methods . . . . . . . . . . . . . . . . . . . .
5.1.1 Philosophy of the finite element (FE) method . . . . . . . . . . . .
5.1.2 A one dimensional example . . . . . . . . . . . . . . . . . . . . .
5.1.3 Galerkin method . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.1.4 Shape functions and discretization . . . . . . . . . . . . . . . . . .
5.2 A 1-D FE example implementation . . . . . . . . . . . . . . . . . . . . . .
5.2.1 Local vs. global points of view . . . . . . . . . . . . . . . . . . . .
5.2.2 Matrix assembly . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.2.3 Element-local computations . . . . . . . . . . . . . . . . . . . . . .
5.3 Exercise: 1-D heat conduction with finite elements . . . . . . . . . . . . .
5.3.1 Implementation of the 1-D heat equation example . . . . . . . . .
5.3.2 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.4 Solution of large, sparse linear systems of equations . . . . . . . . . . . .
5.4.1 Direct solvers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.4.2 Iterative solvers . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.5 Two-Dimensional boundary value problems with FE . . . . . . . . . . .
5.5.1 Linear heat conduction . . . . . . . . . . . . . . . . . . . . . . . . .
5.5.2 Matrix assembly . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.5.3 Isoparametric elements . . . . . . . . . . . . . . . . . . . . . . . .
5.5.4 Numerical integration . . . . . . . . . . . . . . . . . . . . . . . . .
5.5.5 Simple elements, shape functions and Gaussian quadrature rules
5.5.6 Inverse transformation of parametric elements . . . . . . . . . . .
5.6 Exercise: Heat equation in 2-D with FE . . . . . . . . . . . . . . . . . . . .
5.6.1 Implementation of 2-D heat equation . . . . . . . . . . . . . . . .
5.7 Exercise: Linear elastic, compressible finite element problem . . . . . . .
5.7.1 Implementation of static 2-D elasticity . . . . . . . . . . . . . . . .
5.8 Incompressible flow and elasticity with FE . . . . . . . . . . . . . . . . .
5.8.1 Governing equations . . . . . . . . . . . . . . . . . . . . . . . . . .
5.8.2 FE solution to the incompressible elastic/flow problem . . . . . .
5.9 Exercise: Linear, incompressible Stokes flow with FE . . . . . . . . . . . .
5.9.1 Implementation of incompressible, Stokes flow . . . . . . . . . . .
5.9.2 Problem in strong form . . . . . . . . . . . . . . . . . . . . . . . .
5.9.3 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.10 Time-dependent FE methods . . . . . . . . . . . . . . . . . . . . . . . . .
5.10.1 Example: Heat equation . . . . . . . . . . . . . . . . . . . . . . . .
5.10.2 Solution of the semi-discrete heat equation . . . . . . . . . . . . .

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IV
6

Appendix
Basic calculus and algebra review
6.1 Calculus . . . . . . . . . . . . . . .
6.1.1 Full and partial derivatives
6.1.2 Divergence and curl . . . .
6.1.3 Integrals . . . . . . . . . . .
6.2 Linear algebra . . . . . . . . . . . .
6.2.1 The dot product . . . . . . .
6.2.2 Vector or cross product . . .
6.2.3 Matrices and tensors . . . .
6.2.4 Tensors . . . . . . . . . . . .

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Continuum mechanics review

7.1 Definitions and nomenclature . . . . . . . . . . . . . . . . . . . . . . . . . .
7.2 Stress tensor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7.3 Strain and strain-rate tensors . . . . . . . . . . . . . . . . . . . . . . . . . .
7.4 Constitutive relationships (rheology) . . . . . . . . . . . . . . . . . . . . . .
7.5 Deriving a closed system of equations for a problem . . . . . . . . . . . . .
7.5.1 Conservation laws . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7.5.2 Thermodynamic relationships . . . . . . . . . . . . . . . . . . . . .
7.6 Summary: The general system of equations for a continuum media in the
gravity field. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7.6.1 Example: The Stokes system of equations for a slowly moving incompressible linear viscous (Newtonian) continuum . . . . . . . .
7.6.2 2D version, spelled out . . . . . . . . . . . . . . . . . . . . . . . . . .

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. 196

Introduction to MATLAB
8.1 Introduction . . . . . . . . . . . . .
8.2 Useful linear algebra (reprise) . . .
8.3 Exploring MATLAB . . . . . . . . .
8.3.1 Getting started . . . . . . .
8.3.2 Vectors/arrays and plotting
8.3.3 Matrices and 3D plotting .
8.3.4 Matlab scripting . . . . . .
8.3.5 Loops . . . . . . . . . . . . .
8.3.6 Cumulative sum . . . . . .
8.3.7 IF command . . . . . . . . .
8.3.8 FIND command . . . . . . .
8.3.9 Matrix operations . . . . . .
8.3.10 Functions . . . . . . . . . .
8.3.11 Variables and structures . .

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Example syllabus as USC GEOL540 2008

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Bibliography

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Index

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USC GEOL557: Modeling Earth Systems

Chapter 1
Preface
1.1

Purpose of these lecture notes

Numerical modeling in the solid Earth Sciences has come a long way over the last fourty
years. Long-standing questions such as that of how surface tectonics arises from mantle convection can now be addressed with near-realistic convective vigor and material
behavior.
The modeling software used for such research can be increasingly complex, which is
why scientists often rely on existing codes, rather than writing them from scratch. Assuming the use of community software (such as those provided by the Computational
Infrastructure for Geodynamics (CIG), geodynamics.org) will continue to increase over
the next years, geodynamics as a field faces the challenge to educate graduate students
in numerical analysis without having each PhD student write their own code. This one
semester course is supposed to help address this challenge and is geared toward all Earth
science or engineering students (grad and advanced undergrad), and not just geophysicists.
The course discusses the numerical solution of problems arising in the quantitative
modeling of Earth systems. The focus is on continuum mechanics problems as applied
to geological processes in the solid Earth, but the numerical methods have broad applications including in geochemistry or climate modeling. The quantitative skills which are
to be learned are therefore useful for all Earth scientists, but the focus of the class is on
mantle convection and seismology type problems.
After an introduction with few details on numerical analysis and programming, we
briefly discuss ordinary differential equations (ODEs). Thereafter, the class spends the
majority of the time discussing finite difference (FD) and finite element (FE) solutions to
partial differential equations (PDEs). An example syllabus for how to use these notes is
given in sec. 9.1 A brief review of basic math and continuum mechanics fundamentals is
provided in secs. 6 and 7, respectively.
Every subject in this class is accompanied by hands-on Matlab programming exer1 The

syllabus in sec. 9 is not the 2013 version, the latter can be found on the course web page.

CHAPTER 1. PREFACE
cises. The course web site, geodynamics.usc.edu/~becker/teaching-557.html has the
required Matlab files, and splits the associated exercises up into single documents rather
than the complete set of notes provided here. The fact that many of the exercises are selfcontained also means that some material, such as the governing equations, are repeated
in several instances in these lecture notes.
We chose Matlab as a programming language because of its ease in developing and
debugging, as well as the built-in visualization capabilities. The fact that the language is
interpreted, and not compiled, does somewhat limit the direct applications of the implementations that are discussed, pretty much to 2D problems, yet at high efficiencies (e.g.
Dabrowski et al., 2008). Solutions for the Matlab exercises are available for instructors upon
request, and a brief introduction to Matlab exercise is provided in sec. 8.
Students should ideally have had exposure to calculus, some linear algebra, a classic,
introductory geodynamics (or continuum/rock mechanics) course (e.g., based on Turcotte
and Schubert, 2002), and have some introductory level knowledge of computer programming. Earth science students have diverse backgrounds and often do not fulfill all of
these math and programming prerequisites. We like to err on the side of learning by
doing and supporting a broad group of students, and therefore also provide primers on
calculus, linear algebra, continuum mechanics, and computer programming. After learning some basic programming skills, the students are then guided through increasingly
more involved programming using the problem sets as examples.
These notes are an attempt at an almost self-contained, introductory survey of numerical modeling. This necessitates skimming over many technical or theoretical issues (for
example, no mathematical proofs are given), and we also cannot give much room to the
discussion of alternative, or cutting edge numerical methods, for which other textbooks
exist. Our goal is to provide all students with a sufficient working knowledge to solve
simple research problems by reusing the Matlab codes introduced in problem sets, or by
writing their own software. The basic insights into numerical analysis that are conveyed
in this class should also help make students educated and empowered users and developers of more complex, existing community software.

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CHAPTER 1. PREFACE

1.2

Acknowledgments

Parts of the original course notes are inspired by, or partially follow very closely, the treatment in the numerical analysis lecture notes by Spiegelman (2004), the notes by Schmeling
(1994), and the textbook by Press et al. (1993) on numerical analysis, and the textbook by
Hughes (2000) on finite element methods.
Some of the finite difference exercises and parts of the scaling homework assignment

are loosely based on an ETH Zurich

course taught by Yuri Podladchikov. Daoyuan Sun
provided the wave propagation exercise, and most of the finite element exercises are built
directly on the MILAMIN Matlab software which is openly distributed by Dabrowski et al.
(2008). The multigrid problem set is based on an exercise by Zhong (2008), and one of
the elasticity, finite element exercises is inspired by a Numerical Analysis class taught
by Harro Schmeling at Frankfurt University in 1997 (Schmeling, 1994). A web blog at
http://gwlab.blogspot.com/2012/08/inverse-transformation-of-parametric.html
was helpful in coming to grips with inverse transformations.
Students who took the class at USC Earth Sciences in the Fall of 2005, 2008, and 2013
provided valuable feedback.
USC PhD candidate Francois Cadieux helped with the type setting of the original
lecture notes in 2010, and also provided some additional material.
Partial funding for course development was provided by the US National Science
Foundation under CAREER grant EAR-0643365.

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CHAPTER 1. PREFACE

1.3

Abbreviations used

BC Boundary conditions
FD Finite differences
FE Finite elements
IC Initial condition
ODE Ordinary differential equation
PDE Partial differential equation
PDE Partial differential equation
ODE Ordinary differential equation
BC Boundary conditions

1.4

Typesetting conventions

Mathematical symbols are denoted by a for scalars, a for vectors, and A for tensors/matrices.

1.5

Other resources

This text is meant to be fairly self-contained, but there is some related materail which
we refer to often. This includes the following online resources:
Myths and Methods in Modeling by Spiegelman (2004);
Matlab Introduction by Spencer and Ware (2008);
Elsevier Treatise article on Numerical methods in mantle convection by Zhong et al.
(2007).
When used for a class, some accompanying textbooks we recommend are:
Numerical Recipes by Press et al. (1993), 2nd or 3rd edition;
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CHAPTER 1. PREFACE
Geodynamics by Turcotte and Schubert (2002) for background on geodynamics;
The finite element method by Hughes (2000), for further detailes on the finite element
method.
For finite elements, for example, there are, of course, a number of good textbooks.
Those include Kwon and Bang (1996), which provides a clear, step-by-step, introduction
with many Matlab program examples, and the classic by Bathe (2007) for a comprehensive
reference. For computational geodynamics, there is now Ismail-Zadeh and Tackley (2010)
for a broader, but less-detailed overview of general methods and Gerya (2009) for more
details on finite difference approaches.
Background material Short discussions of basic math, continuum mechanics, and Matlab are found in secs. 6, 7, and 8, respectively. Readers not familiar with this material may
wish to review those chapters.
Availability and contact A PDF of the lecture notes and Matlab exercises as used for a
graduate class at USC (GEOL557) can be found on course web site
http://geodynamics.usc.edu/~becker/teaching-557.html
For any questions, please contact
Thorsten W. Becker, University of Southern California: twb-at-usc-edu.

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Part I
Introduction

12

Chapter 2
Introduction to numerical geodynamics
2.1

Numerical methods in the Earth Sciences

TO BE EXPANDED GREATLY, MORE DISCUSSION.

2.1.1

Philosophy

Avoid black boxes (e.g. commercial codes) in general. They may or may not do
what you like them to do; if they dont, youre out of luck because if you cannot
modify the source code. Exception for good black boxes are matrix solver and
linear algebra packages, generally speaking (but see sec. 5.4).
Create, or understand, as much code and theory as possible yourself, no matter if
you are geophysicist or geologist.
There are no Easy or Model my field data buttons, but you dont have to be a
math-whiz either!

2.1.2

Goals

Provide you with a basic understanding of numerical modeling, using solid Earth
science problems as an example.
Allow you to solve simple research problems using tools presented here, and, more
importantly, allow you to write new programs and solve different scientific questions yourself independently.
Help you become an informed, empowered user of sophisticated numerical codes.
Introduce some math and computer science along the way.
This text cannot
13

CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

be mathematically thorough (no proofs, etc.)
be comprehensive
be cutting edge in all aspects of numerical analysis
because we need to cover a lot of ground.

2.1.3

Overview of applications of numerical methods for Earth sciences

In general, numerical methods are important for forward and inverse problems. In particular, we may focus on
Differential equations of the partial (PDE) or ordinary (ODE) kind, which can be solved
with
finite difference methods
integral methods, such as finite elements and spectral methods.
Inverse problems where a structural or physical model of the Earth is inferred from (a
potentially very large) set of data. Methods may include
linear matrix inversion, least squares (with challenges related to those in finite
element methods)
Monte Carlo, simulated annealing
Genetic Algorithms

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

Example applications of numerical modeling in the Earth Sciences

Figure 2.1: Estimated slip distribution on southern California faults for shear stress (left) and
Coulomb stress free, simultaneous slip, boundary element method computations (modified from
Becker and Schott, 2002). This method (e.g. Crouch and Starfield, 1983) uses Greens functions (here
computed following Okada, 1992) and either summation for estimating given slip distributions,
u, on faults, or solution of a large, linear system of equations to infer u for specified stress on the
faults.

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

Figure 2.2: Spherical, visco-plastic mantle convection computation results showing plate-like surface motions (left: velocity vectors on top of viscosity, right: cold temperature isosurface in the interior showing one-sided subduction due to slab rollback), modified from Foley and Becker (2009).
We use the CitcomS (Zhong et al., 2000) finite element software to solve the Stokes and energy
equations for an infinite Prantl number, incompressible fluid (cf. Zhong et al., 2007).

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

Figure 2.3: Global mantle circulation computation using mantle tomography to infer density distributions in the mantle and solving Stokes equation (modified from Becker and Faccenna, 2011),
see (cf. Hager and OConnell, 1981; Zhong et al., 2000; Becker, 2006). Visualization with Paraview
(Kitware, Inc., 2006).

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

2.1.4

Classification of numerical problems & solution methods

Forward Problem
1. formulate model
2. identify theoretical description
3. solve
dimensional analysis
analytical solution

check if this is a standard problem someone else has solved

check if terms can be neglected to simplify
check if equations can be linearized
numerical solution

Distinguish between model and simulation

A good model is as simple as possible to satisfy the most important constraints with the
smallest number of parameters, to understand the underlying physics. A simulation tries
to mimic what a system looks like, in a kitchen sink, lots of parameters kind of approach.
To some extent, this distinction is a matter of taste, but a good model can provide the
fundamental description needed to understand the why of Earths dynamics.
Inverse problem
1. Formulate a model (e.g. Earths mantle wave speed variations are smooth)
2. Identify theory (e.g. can treat seismic waves as rays)
3. Collect data
4. Solve a (linear) inverse problem

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

2.2
2.2.1

Examples of applications for numerical methods

Linear inverse problems

computational linear algebra

2.2.2

Ordinary differential equations

Examples:
y
= f (y)
t
x
= v
t

(2.1)
(2.2)

Runge-Kutta, Burlisch-Stoer integration methods, for example (this will be dealt

with next, see 3.2).

2.2.3

Partial differential equations

Many problems in the Earth sciences can be described by linear partial differential equations of second order. For constant coefficients k, we can write a general equation

k1

2 f
2 f
2 f
2 f
+
k
+
k
+
k
+
2
3
4
x2
y2
z2
t2
f
f
f
f
p1
+ p2 + p3 + p4
+
x
y
z
t
f ( x, y, z, t) = g( x, y, z, t).

(2.3)
(2.4)
(2.5)

Another common representation of a general, second order equation as a function of two

variables is
2 f
f
2 f
2 f
f
A 2 +B
+ C 2 + D + E + F f = R( x, y),
(2.6)
xy
x
y
x
y
where x and y need not be spatial derivatives, e.g. y may be time t. Special cases of these
general equations are then, in analogy to planar sections of a cone,
elliptic PDEs : B2 < 4AC, or all k i are non-zero and have the same sign;
hyperbolic PDEs : B2 > 4AC, or all k i are non-zero and one has a different sign from the
others;
parabolic PDEs : B2 = 4AC, or all k i but one are non-zero and have the same sign.

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

Distinguishing between these different types of PDEs is important because the types
determine which boundary conditions and which initial conditions are neded. For example,
elliptic problems require boundary conditions, but parabolic and hyperbolic problems als
require initial conditions.
As for the boundary types and conditions, the following rules apply
type
boundary conditions
hyperbolic
open
Cauchy
parabolic
open
Dirichlet or Neumann
elliptic
closed
Dirichlet or Neumann
where the boundary condition type means
Dirichlet : specifying f itself;
f

Neumann : specifying n where n is the normal derivative on the boundary,

where n is the normal at each point;
Cauchy : where both f and

f
n

f
n

= f n,

need to be specified.

Stationary field problems (boundary value problems)

We are looking for a stationary ( f /t = 0) solution for an elliptic PDE given boundary
conditions on the edge S of the domain S. (k4 = 0 does not lead to a parabolic PDE in
this case because the equation is not a function of time t in this case.) Examples include
the
stationary heat equation
gravity potential equation

k 2 T + H = 0,

(2.7)

2 = 4G.

(2.8)

For an isotropic and homogeneous medium, these equations correspond to the Poisson
2 f
2 f
2 f
f = 2 + 2 + 2 = g( x, y, z),
x
y
z

(2.9)

2 f = 0.

(2.10)

or the Laplace equation

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

Time-dependent field problems
If f can be a function of time, we can write

2 f = g( x, y, z, t) +

2 f
f
+

,
t
t2

(2.11)

where boundary conditions may also be a function of time t, and we need additional
initial conditions which provide f ( x, y, z, t0 ) = ( x, y, z).
For = 0, this is a parabolic PDE, with the classic example of the time-dependent heat
equation, an example of a diffusion equation
k 2 T + H = c p

T
,
t

(2.12)

with thermal diffusivity

=

k
.
c p

(2.13)

If = 0 and > 0, the equation is a hyperbolic PDE, in the case of g = 0 a wave

equation,
2 f
= c2 2 f ,
(2.14)
t2
where c is a velocity.
If we are interested in periodic solutions of eq. (2.14) only, we can use normal modes
and turn the hyperbolic PDE in a eigenvalalue problem by assuming

which yields

f = F ( x, y, z)eit ,

(2.15)

2 F = c2 2 F.

(2.16)

The resulting frequencies are the eigenfrequencies, e.g. of the vibrational modes of the
whole Earth induced by earthquakes.
In case both 6= 0 and 6= 0, we have a damped wave equation. In this case, two
initial conditions are needed,
f ( x, y, z, t0 ) = ( x, y, z)
f
( x, y, z, t0 ) = ( x, y, z)
t

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(2.17)
(2.18)

CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

2.2.4

Numerical solution methods

Finite Differences (FD)

FD approximate differentials by Taylor series, then approximate equations to solve in a
pointwise manner.
Take
2 T
H (x)
= 0,
(2.19)

x
which can be written as
2 u
+ s = 0.
(2.20)
x2
We may approximate this equation with finite differences as
ui+1 2ui + ui1

(x )2

= si .

(2.21)

Pros
conceptually simple, approximates the PDE
Cons
bad for sharp contrasts
bad for complicated geometries
code usually needs to be written from scratch for new problems
Finite Elements (FE)
The FE method is complicated conceptually, and provides an approximate solution to the
solutions, rather than the equations themselves. It is an integral method, where we take
eq. (2.20), multiply by a virtual displacement w and integrate over x

Z b
a

2 u
w 2
x

Z b
a

ws = 0,

(2.22)

which gives with w( a) = 0 and integration by parts

Z b
w u
a

x x

= hw(b) +

Z b
a

ws,

(2.23)

where h = u
x ( b ). This is the weak form of the PDE, and picking w as a low order polynomial forms the basis of the FE method.
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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

Pros
good for sharp boundaries
good for complicated geometries
allow easy lateral mesh refinement
usually, only minor modifications to the code are needed for new problems
Cons
conceptually a bit more involved, approximates the solution of the PDE
coding initially more complicated
need to carefully choose elements, integration methods, etc.
Spectral element methods, a variant of finite elements
Spectral methods
Spectral methods expand the spatial solution as harmonic functions (can use FFT), and
solve time evolution as an ODE for coefficients.
Example
2 u
= s,
(2.24)
x2
assuming that s is periodic (i.e. s( x ) = s( x + 2 )), we write u and s as Fourier series
u =
s =

a j eijx
bj eijx

(2.25)
(2.26)
(2.27)

and substitute, which gives (for continuous, second order differentiable u)

from which

a j j2 eijx = bj eijx ,

(2.28)

bj
aj = 2 .
j

(2.29)

The approach then consists in solving by computing b j by FFT of s, then use eq. (2.29),
then find f from inverse FFT of a j .
Pros

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

just for homogeneous media
Cons
non-local
poor performance for lateral variations in material properties (need to iterate)
Distinct element methods
Boundary element methods
Gas lattice and other microscopic methods
These methods do not provide a clear relationship between micro rules and the continuum PDEs but are efficient for some problems.

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

2.3

Computing

Here, we very briefly review some hardware related issues, give a few general programming tips, and then move on to get started programming using the Matlab language in
the next section. You can also refer to the hardware notes of Press et al. (1993) for some
background on machine architecture.

2.3.1

Hardware issues

At a low level, a computer stores information in the binary system, i.e. in bits that can
hold the values of either zero or one. You can then use a byte (8 bits) to encode numbers
from 0 to 28 1 = 255 using the binary system. For floating point or larger integers,
more memory is required. A single precision float take up four bytes and is accurate up
to 5 107 , a double precision float up to 5 1015 . With a 32 bit operating system,
the largest number you can represent is 231 1 2.1 billion. (Aside: this might seem like
a big number but is not, as it corresponds roughly to a bit more then 8003 resolution.)

A numerical representation of a float will always be approximate (only integers are

exact). This means to not test for x == 0 (equal to zero) but abs( x ) < ( abs( x ) =
| x |) where depends on implementation.
The detailed storage depends on the hardware, big endian vrs.small endian
Some mathematical operations that are theoretically valid will lead to large round
off errors.
e.g. cos1 ( x ) for small x, subtracting large numbers from each other.
The memory requirements for a float vector will be half of that of a double.
Memory
1 MB (megabyte) corresponds 1024 1024 bytes; 1 GB = 1024 MB. As of 2008, your PC
will have likely have at least 2 GB of Random Access Memory or RAM (as opposed to
hard drive space) meaning you can store how many floats and doubles? To increase the
available memory, one can use formerly called supercomputers. Those consist these
days mainly of
Distributed memory machines e.g. 200 2quadcore (8 Central Processing Units or CPUs)
8 GB RAM machines which need specially designed software to make use of parallelism, e.g. Message Passing Interface or MPI.
Shared memory machines This is the more expensive, old school approach where several CPUs can share a larger than normal (e.g. 256 GB) memory. Compilers can
sometimes help make your code make use of parallelism, i.e. having the computational time decrease by using more than one core or CPU. Right now, typical PCs
can be considered shared memory (multi-core, i.e. CPU) machines.
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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

Note how hardware and software are intertwined.
GRAPHICAL PROCESSING UNITS

2.3.2

Software - Computer Languages

High level languages

run interpreted
Examples: Matlab - numerical computations
Octave (a free Matlab clone)
Mathematica for symbolic math
Python for programming and scripting
Pros:
rapid prototyping, convenient abstractions
convenient debugging
easy access to visualization (key for validation)
Cons:
interpreted at run time, can be slow
may require paying license fees

Libraries
NETLIB
BLAS
LAPACK
PETSc
Low level languages

compile before run

Examples: serial:
C, Fortran 77, Fortran 90/95
object-oriented: C++, Java, Python
Pros:
freely available compilers and development tools
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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

fast, particularly C, and Fortran
numerous libraries and code fragments available
Cons:
Need to compile
As is, no standard interface to plotting
More hands-on & detail-oriented work required, e.g. memory allocation

Lowest level languages

Assembler code:
This is what the CPU actually understands and consists of basic operations, e.g. place
number on stack, multiply with second number. A compilers job is to translate low
level to lowest level language, and do this as efficiently as possible. Note that compiler
optimization can improve run times by factors of 10-100, and care should be taken
when writing low level code to help the compiler.
Likely, you will never see assembler code, but you might be able to benefit from the
work others have put into this (see hardware optimization below).
How to choose a computer language?
The best choice of language, hardware, and method will always depend on the problem
at hand. For simple analysis, Matlab or the free python language plus extensions may be
all you need. If you need more highly optimized (e.g. faster, 3-D, parallel) performance,
F95 and C are good choices. As with all other crafts, experience will bring you closer to
perfection, but keep in mind that paying attention to detail may save you a lot of time in
the end!

2.3.3

Elements of a computer program

Heres a non-sensical program written in the Matlab language to illustrate a few concepts.
% This is the main program. Notice the % symbol - it means this line is
% a comment and will be ignored at run time.
i = 0;
% assign integer variable for loop
n = 100;
% some number of elements
x = zeros(n,1);
% allocate and initialize a vector x[] with n elements
y = 1;
for i = 1:n
% loop from i = 1, 2, ..., n
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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

x(i) = y^2;
% assign some value
y = y+2;
% increment variable
end
% close loop
% notice the statements inside the loop are indented.
i = 1;
while (i <= n)
% different loop construct
x(i) = mysin(x(i));
% function call
i = i+1;
printf("%g\n", x(i));
% output statement
end
% This is the subroutine or function mysin
function result = mysin(xloc)
result = sin(xloc);
% Note that this subroutine will not know the main programs
% variables, they are "local".

2.3.4

Guiding philosophy in writing a computer program

1. Modularize and test for robustness.

Break the task down into small into small pieces that can be reused within the
same program or in another program
Test each part well before using it in a larger project to make code more robust.
ensure that each subroutine gives error messages, in case non sensible input
arguments are given.
do not ignore compiler warnings
2. Strive for portability
Dont use special tricks/packages that might not be available on other platforms.
3. Comment
Add explanatory notes for each major step, strive for a fraction of comments to
code
30%
This will help re-usability, should you or someone else want to modify the code
later.
4. Use structures, avoid globals
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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

If variables are needed in several subroutines, do not use global declaration,
but pass a structure that contains a set of variables.
5. Avoid unnecessary computations
See below for common speed up tricks.
6. Visualize you intermediate results often (But dont print it all out in color!)
Bugs in the code can often be seen easily when output is analyzed graphically, and
may show up as, e.g.
lines being wiggly when they should be smooth
solutions being skewed when they should be symmetrical
etc.
Object oriented programming forces you to follow rules 1 & 4 (not so much 2). Editors
and advanced development environments (such as the Matlab DE) help with 3 & 6.

2.3.5

Guidelines for writing efficient code

1. Avoid reading and writing intermediate steps to file, i.e. on the hard drive (Input/Output
or IO) if at all possible.
2. Use nested loops that are sorted by the fastest/major index, because memory access
is faster that way. The storage depends on the computer larguage (C vrs. FORTRAN). e.g. in Matlab, you would write
for i = 1:n
% increment i across all rows (slow index)
for j = 1:m
% row i computations across all columns j first
x(i,j) = x(i,j) * y(i,j);
end
end
to multiply x elements by those of y and NOT the other way around,
for j = 1:m
for i = 1:n

% row i computations across all columns j first

% this will make things jump around in memort
% and slow things down
x(i,j) = x(i,j) * y(i,j);
end
end

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

Even better, in Matlab (and languages such as FORTRAN90) you can vectorize, i.e.
write symbolically for a vector x
x = x + 5; % x here can be a matrix or a vector

if you want to add a scalar to each element, or

x = x .* y
for the example above. Matlab internally takes take that the looping is taking care
of in the most efficient way. This can make a huge difference, vectorize whenever
you can in.
3. Avoid if statements as much as possible. For example, if this test
if(debug == 1) % evaluating this expression will take time
% do this
else
% do that
end

if optional and usually zero, comment it out using pre-processor directives. I.e. in
C, you would write the code like so
#ifdef DEBUG
% code here for debugging version of program
#else
% code here for the regular version of program
#end

and compile the program with or without

gcc -DDEBUG

depending on if you want those statements to be executed when the program runs.
4. Pre-compute common factors to avoid redundant computations.
For example, instead of

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

for i = 1:n
x(i) = x(i)/180*pi;
end

It is better to do
fac = pi/180;
for i = 1:n
x(i) = x(i)*fac;
end

because it entails one less division per step. In Matlab, its better still to use the
vectorized version, x=x.*fac.
5. Share the code!
The more eyes, the less bugs, and the better the performance.
6. Use hardware optimized packages for standard tasks, e.g.
LAPACK for linear algebra
This package is available highly optimized for several architectures.
FFTW for FFT,
an automatically adapting package.
Different hardware makes certain chunks of memory sized ( cache ) operations
highly efficient (see, e.g. Dabrowski et al., 2008, as used later in class).
7. Use version control!
Use version control packages (such as subversion, RCS) during code development,
as this might safe you an immense amount of time when youre trying to track down
where and when that bug crept into the code.

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

2.4

Scaling analysis and non-dimensional numbers

Reading
Spiegelman (2004), sec. 1.4
Turcotte and Schubert (2002), Google, and Wikipedia for reference and material parameters

2.4.1

Scaling analysis

Scaling analysis refers to order of magnitude estimates on how different processes work
together and control a system. While this is a text on numerical analysis, such theoretical
considerations are very useful if we are interested in getting a quick idea of the values that
are of relevance for a problem, and for the order of magnitude for solutions. Comparing
these estimates with the numerical results is always good practice and part of a basic set
of plausibility checks that have to be conducted.
For example, shear stress (in units of Pa) for a Newtonian viscous rheology with
viscosity (in units of Pa s) is given by the simple constitutive law
= 2

(2.30)

where is the strain-rate (in units of s1 ). Say, we wish to estimate the typical amplitudes
of shear stress in a part of the crust that we know is being sheared at some (e.g. plate-)
velocity u over a zone of width L. The strain-rate in 3-D is really a tensor, ,
with 3 3
components that depends on the spatial derivatives of the velocity like so
!
1 ui u j
+
,
(2.31)
= ij =
2 x j
xi
and has to be either constrained by kinematics or inferred for the full solution. However,
for our problem, we only need a characteristic value, i.e. correct up to a factor of ten
or so. Strain-rate is physically the change in velocity over length, and the characteristic
strain-rate is then given by
v

(2.32)
L
where means proportional to, or scales as, to indicate that eq. (2.32) is not exact.
Assuming we know the viscosity , we can then estimate the typical stress in the shear
zone to be
v
(2.33)
2 .
L

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

If you think about the units of all quantities involved (dimensional analysis), then this
scaling could not have worked out any other way. Viscosity is Pa s (stress times time),
velocity m/s (length over time), so stress=Pa s m/(s m)=Pa as it should be. 1
Note I: Whenever you work out, or type up, a new equation, it is always a good idea
to check if the units on both sides make sense.
Note II: The scaling of velocities and stress for a buoyancy driven problem, such as the
Stokes sinker discussed below, is entirely different!

2.4.2

Non-dimensionalization

A complementary approach that also takes into account the order of magnitude of variables is to simplify the governing equations by defining characteristic quantities and
then dividing all properties by those to make them non-dimensional. This way, the
non-dimensional quantities that enter the equation on their own should all be of order
unity so that the resulting collection of parameters in some part of the equation measures
their relative importance.
A classic example for this is based on the Navier Stokes equation for an incompressible, Newtonian fluid. When body forces driving flow are due to temperature T fluctuations in (the Earths) gravitational field
Dv
= pd + 2 v + 0 Tg
Dt
where D is the total, Lagrangian derivative operator

(2.34)

=
+ v ,
(2.35)
Dt
t
v velocity, the Nabla derivative operator = {/x, /y, /z}, t time, pd the dynamic pressure (without the hydrostatic part), the viscosity, 0 reference density, , and
g gravitational acceleration. One can now choose (as mentioned before for the Lorenz
equations) typical quantities that can be derived from the given parameters such as a T
temperature difference, a fluid box height d, and some choice for the timescale. All other
characteristic values for physical properties can then be derived from those choices (see,
e.g., discussion in Ricard, 2007).
Let us assume that we are dealing with a box heated from below and cooled from
above, i.e. held at constant temperature difference of T = Ttop Tbot , with no internal
heating (Rayleigh-Benard problem). A typical choice for a characteristic timescale is to
use the diffusion time that can be constructed from the thermal diffusivity, , in the energy
equation
DT
= 2 T
(2.36)
Dt
1 We

will always use SI units unless its inconvenient for Earth applications, where we might use multiples of SI units such as cm/yr instead of m/s for velocities. Also note that one year has roughly 107 s
(accurate up to 0.5%), i.e. 1 cm/yr is 3.2 1010 m/s, and that you should account for leap years for
geological time conversions, meaning that 365.25 24 60 60 is the right number of seconds per year.

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

(no heat sources) that couples with the momentum equation, eq. (2.34). Because has
units of length2 /time, any diffusion-related time scale td for a given length l has to work
out like
d2
td ,
(2.37)

by dimensional analysis. This relationship is hugely important for all diffusional processes.
Using the characteristic quantities f c which result from this scaling and using l = d,
for all variables in eq. (2.34) and eq. (2.36), all other properties can be derived, e.g.
vc =

d
tc

c =

vc
d

c = c

Tc = T

(2.38)

we divide all variables (spatial and temporal derivatives are dealt with like space and
time variables) to make them unit-less, non-dimensional f 0 = f / f c , and eq. (2.34) can
then be written as
1 D 0 v0
= 0 p0 + (0 )2 v0 RaT 0 ez
(2.39)
0
0
Pr D t
where weve used g = gez . I.e., all material parameters have been collected in two unitless numbers after non-dimensionalization, the Prandlt number,

(2.40)

0 gTd3
.

(2.41)

Pr =
and the Rayleigh number 2
Ra =

Exercise: Verify this recasting of the Navier-Stokes equation by plugging in the nondimensionalized quantities.
Often, we then just drop the primes and write the equation like so
1 Dv
= p + 2 v RaTez
Pr Dt

(2.42)

where it is implied that all quantities are used non-dimensionalized. This equation may
still be hard to solve, but at least we now have sorted all material parameters into two
numbers, Ra and Pr.
Note I: The non-dimensional versions of the equations are also the best choice if you
want to write a computer program for a physical problems. Using non-dimensionalized
2 In

the derivation above, we have assumed that the system is heated from below and viscosity is constant. The Rayleigh number is therefore valid for this bottom-heated case only. In Earths mantle, internal
heating (due to decay of radioactive elements in the mantle) is probably at least equally important (Jaupart
et al., 2007; Lay et al., 2008), and the Rayleigh-number in this case is defined differently. Also, rock viscosity
depends on a range of quantities, including temperature and strain-rate, making it imperative to properly
(log) average viscosity when computing effective Rayleigh numbers (e.g. Christensen, 1984).

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

equations, all terms should be roughly of order unity, and the computer will not have
to multiply terms that are very large in SI units (e.g. ) with those that are very small,
reducing round-off error (e.g. v, what is the order of magnitude of and of |v| for mantle
convection?).
Note II: This also means that when some geophysicists convection code spits out, say,
velocities, you will have to check what units those have, and more often than not youll
have to multiply by the vc from above to get back m/s, which youll then convert to
cm/yr.
Note III: Youll also note that a few geodynamics papers will not provide the scaled
quantities used so that you can go back to SI units; sometimes this is because the values
used for the parameters in the models stray significantly from typical Earth values.
Particularly the Rayleigh number is key for mantle convection, because we typically
use the infite Prandtl number approximation, (Pr , why?). In this case, eq. (2.34)
simplifies to the Stokes equation,
2 v = pd 0 Tg.

(2.43)

Both Pr and Ra are discussed below. Fluid dynamics is full of these non-dimensional
numbers which are usually named after some famous person because they are so powerful. Any fluid that has the same Ra and Pr number as another fluid will behave exactly
the same way in terms of the overall style of dynamics, such as the resulting average
temperature structure and up and downwelling morphology.
The actual time scales of convection, e.g., may, however, be very different for two
systems at the same Rayleigh number (because of vc being different). This behavior allows, for example, to conduct analog, laboratory experiments of mantle convection (e.g.
Jacoby and Schmeling, 1981; Faccenna et al., 1999). When conducting such experiments,
care needs to be taken that all relevant non-dimensional numbers agree between the real
Earth problem and the laboratory experiment (e.g. Weijermars and Schmeling, 1986). Also,
when changing length scales and material, different physical effects such as surface tension may matter in the lab, while they are irrelevant for mantle convection in general (see,
e.g., sec. 6.7 of Ricard, 2007, for a discussion of Mahagoni convection).
From an analytical point of view, if the non-dimensional quantities are either very
large or very small, we can simplify the full equations to more tractable special cases. For
a nice and more comprehensive treatment of this section, you may want to refer to Ricard
(2007).

2.4.3

Problems

1. For all of the following non-dimensional numbers, discuss briefly (2-3 sentences)
the processes which these numbers measure, e.g. by contrasting system behavior for
Th = 0 and Th = , where Th is some non-dimensional number.
For each number, give numerical estimates for the Earth, at the present day. Document your choices (i.e. providing references) for individual parameters before comUSC GEOL557: Modeling Earth Systems

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

puting joint quantities, mention where you got the estimates from, and what the
implications for Earth in terms of the dynamics are. A neat way to organize this
might be to use a table for each dimensionless number with appropriate headings
(e.g. parameter, estimate, reference).
You might have to look up definitions and other reference material, e.g. in a geodynamics text, or on Google (note: dont trust everything on the web . . . ). There are no
unique answers for this part of the problem set, and you will often have to decide on
an example problem for which youll pick a characteristic quantity such as length.
Some answers are actively debated in the literature.
(a) Rayleigh number for whole and upper mantle convection.
(b) Peclet number for ridges, slabs, and general mantle convection. The Peclet
number is defined as
dv
(2.44)
Pe =

with characteristic length d, velocity v, and thermal diffusivity .

(c) Prandtl number for the mantle and the atmosphere. Once youve figured out
the meaning of the Prandtl number, think of the different response of the mantle to an applied pulse of change in plate motion, compared to an applied pulse
of heating.
(d) Reynolds number for the mantle, the ocean, and a tornado. The Reynolds number is defined as
vd
vd
=
.
(2.45)
Re =

Note: Take care to distinguish between velocity v, kinematic viscosity = /

and dynamic viscosity .
(e) Deborah number for the subducting oceanic lithosphere, and for a laboratory
experiment on rock deformation. The Deborah number can be defined as
De =

tr
tp

(2.46)

tM =

(2.47)

where you can use a Maxwell time

for the relaxation time tr , and t p is the time scale of observation. The Maxwell
time measures the visco-elastic relaxation time of a body with viscosity and
shear modulus (think post-glacial rebound).
What are characteristic Maxwell times for the crust? The upper mantle?
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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

2. (a) Consider a solid, sinking sphere of radius a in a fluid of viscosity and gravitational pull g, and a density Stokes velocity contrast between sphere and fluid
of . Solve for the approximate sinking velocity of this Stokes sinker by
equating the gravitational pull force FP = Mg = Vg with the shear force
acting on the spheres area A, FS A A c . Here, Ive used M for the
mass anomaly, and V for the volume of the sphere. All equations follow from
F = ma and stress = force / area and some geometry.
Note: The full equation for a Stokes sinker is only very weakly dependent on
the viscosity of the sinker, s , itself, but scales mainly with the ambient viscosity . For s / and s / 0, the prefactor changes from 2/9 to
1/3, respectively (see further discussion in Becker and Faccenna, 2009, for the
subduction context).
(b) For flow induced by a Stokes sinker, does the stress scale with and/or ?
How does that compare with the velocities?
Note: The scaling of v and with combinations of and are among the
most fundamental relations of mantle dynamics (velocities v might be the plate
velocities, dynamic topography scales with , for example).
(c) Estimate the Stokes velocity by dimensional analysis as in (a), but now assuming that the viscosity of the fluid obeys a power-law,

(for rocks, n 3) instead of

(2.48)

(2.49)

for Newtonian creep as assumed above. (These equations are written sloppily
and dont have the right units. For correct units, consider a relationship like
where is a material parameter, but you may use eq. (2.48)
(/)n1 = ,
for the scaling analysis.)
(d) Estimate the rise velocity of a plume head large enough to cause the Deccan
traps.
3. You are moving the top of a fluid layer of height d at constant speed v(z = d) = v0 ,
and the fluid is held fixed at the bottom at z = 0. In this case, the laminar solution
for the flow velocity is a linear decrease of velocity with depth to v(0) = 0 at the
bottom.
(a) What material parameters set the stress in the fluid? What determines the
strain-rate and how does it vary with depth?
(b) Now consider two fluid layers, with the top fluid viscosity larger than the bottom one by a factor of two. Sketch the solution for the dependence of v(z).

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CHAPTER 2. INTRODUCTION TO NUMERICAL GEODYNAMICS

v
H h
m

Figure 2.4: Illustration of the geometry of the volcanic eruption problem.

4. Using dimensional analysis, such as used above for the Stokes sinker, estimate the
velocity of a volcanic eruption (see Figure below for parameters).
Hint: You might want to proceed by first using the equations for laminar, pressuredriven (look up Hagen-Poiseuille) flow in a pipe of radius R, and then estimate
the pressure difference from Figure 2.4.

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Part II
Ordinary differential equations

39

Chapter 3
Solution of ordinary differential
equations
3.1

Introduction

Reading: Press et al. (1993), Chap. 17; Spiegelman (2004), Chap. 4; Spencer and Ware (2008),
sec. 16.
ODE An equation that involves the derivative of the function we want to solve for, and
that has only one independent variable (else its a PDE).
For example:
dy
= f ( x ), which can be solved by integration
dx
Z
y=
f ( x ) dx + C

(3.1)
(3.2)

where C needs to be determined by additional information, such as a boundary condition

on y. If f ( x, y) depends non-linearly on y, the ODE will normally have to be solved
numerically.
The order of an ODE is determined by the largest number of derivatives involved, e.g.
d2 y
dy
+ q( x )
= r(x)
2
dx
dx

(3.3)

is second order. However, we can always reduce ODEs to sets of first order equations.
For eq. (3.3), define
dy
= z( x ), then
dx
dz
= r ( x ) q ( x ) z ( x ).
dx
40

(3.4)
(3.5)

CHAPTER 3. SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS

Or, in general
dyi ( x )
= f i ( x, y, . . . , y N )
dx

or

dy
= f ( x, y)
dx

(3.6)

is a system for N coupled ODEs, all dependent on the independent variable x, which is
typically time, t. y is the solution vector we want to solve for. The actual solution of ODEs
will depend on the types of boundary conditions on y and the initial conditions.
We can distinguish between initial value and two point boundary values problems.

3.1.1

Initial Value Problems

We focus here on initial value problems, where y is known for some x = x0 , and the
system evolves from there to some x f (final time).
Examples are
spring slider systems
d
= k ( v v0 )
= kx
dt
= f (v, 1 , 2 , . . .)
di
= f (v, i )
dt

(Hookes law)
(friction law)
(state variable evolution)

geochemical box models

dy
= f ( y );
dt

(concentration and fluxes)

low order spectral models, e.g. for convection

N

y( x, t) =

yi ( t ) f i ( x )

n =1

(harmonic basis functions for spatial solution (problem set will deal with those))
parametrized convection models
dT
Q = c p M
= H (t) Qc (t) = H (t) f ( T, t)
dt

(3.7)

particle tracking
dc
= f ( x, t)
dt
dx
=v
dt
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for each particle

(3.8)
(3.9)

CHAPTER 3. SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS

which is equivalent to the advection equation
dc
Dc
=
+ v c = f
Dt
dt

3.2

(3.10)

Solution of initial value problem

Lets consider the solution of

dy
= f (t, y(t))
dt

(3.11)

from t = t0 to t = t f with y0 = y(t = t0 )

y ( t ) = y0 +

Z t
f
t0

f (t, y(t)) dt.

(3.12)

We can break down the integral into step sizes h from ti to ti + h with n = (t f t0 )/h
partial integrals such that we only need to solve
I=

Z ti + h
ti

f (t, y(t)) dt

(3.13)

as cheaply as possible numerically. The simplest approximation is

I = f (ti , y(ti )) h
such that
y(ti + h) = y(ti ) + h f (ti , y(ti ))

(from (3.12))
(3.14)

becomes the rule to advance y from ti to ti + h. This is the Euler method, and a really bad
idea. Consider the graphical representation in Figure 3.1, which shows that (3.14) is just
a simple extrapolation of y based on the slope at ti , which is given by equation (3.11). If y
has some curvature to it, the Euler scheme will lead to large errors quickly!
We can Taylor expand (eq. 6.4) y around t0 to get
y ( t ) y ( t0 ) + ( t t0 )

dy(t0 ) (t t0 )2 d2 y(t0 ) (t t0 )3 000

+
+
y +...
dt
2!
3!
dt2

(3.15)

to gain some mathematical insight into the accuracy of the Euler scheme. For our problem, (3.15) becomes
y ( t i + h ) y ( t i ) + h f ( y ( t0 ), t0 ) +

h2 d2 y
+...
2 dt2

(3.16)

Notice that the error of the Euler scheme goes as O (order of)(h2 ), and the scheme itself
is only accurate to first order. This means that tiny time steps would have to be taken for
a good solution. There are several improvements to the Euler method.
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CHAPTER 3. SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS

Figure 3.1: Sketch illustrating the Euler method.

Figure 3.2: Sketch illustrating the midpoint method.

1. The midpoint method of Figure 3.2 evaluates the derivative of y w.r.t. to t first at
half the Euler step


dy
dy
h
t + h/2, y (ti ) +
(3.17)
(t )
dt i
dt i 2
and then advances y by that slope
dy
y ( ti + h ) = y ( ti ) + h
dt

dy
h
ti + h/2, y (ti ) +
( ti )
dt
2


(3.18)

written in terms of f

y ( ti + h ) = y ( ti ) + h f
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h
h
ti + , y ( ti ) + f ( ti , yi )
2
2


(3.19)

CHAPTER 3. SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS

or letting yi+1 = y (ti + h), yi = y (ti ), we can write
k 1 = h f ( ti , yi )


1
h
k 2 = h f ti + , yi + k 1
2
2
 
y i +1 = y i + k 2 + O h 3

(3.20)
(3.21)
(3.22)

and this method is second order accurate. Note that higher accuracy has come at a
cost, f now needs to be evaluated twice and once at a y value different from yi , and
there
are overall more operations per time step. However, since the error is now
O h3 , we can take larger time steps.
There are several avenues to refine the midpoint method further, but in general the
2. 4th order Runge-Kutta works well. The rules are
k 1 = h f ( ti , yi )


h
k1
k 2 = h f ti + , yi +
2
2


h
k2
k 3 = h f ti + , yi +
2
2
k4 = h f (ti + h, yi + k3 )
 
k
k2 k3 k4
y i +1 = y i + 1 +
+ + + O h5 .
6
3
3
6

(3.23)

The next improvement to the Runge Kutta method is to adapt the step size h during
forward integration, according to an a comparison of an on-the-fly error estimate with
some desired accuracy (Press et al., 1993, sec. 16.2). If you have a simple problem and
want to implement your own method, as in the problem set below, one way to test the
behavior of the forward routine is to successively half h and keep track of the deviations
of |y| at x f to make sure things converge. This is of course assuming that the parameters
for f remain within a reasonable range as used for the test, and adaptive step size is
preferred.
Moreover, especially tricky functions f require special methods, and Press et al. (1993),
chap. 16, discusses these. Some of the more fancy methods are implemented in Matlab,
read the help material for how to use the built-in ODE solvers. Matlab implementation of
ODE solvers are discussed in Spencer and Ware (2008), sec. 16.5. Typically, you want to try
ode45, and if that fails, ode113, or ode155.

3.2.1

Two-point Boundary Value Problems

Here, y is given at both ends of the interval, x0 and x f . We will not deal with those kinds
of problems here. They generally involve iteration to find the right solution based on
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CHAPTER 3. SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS

the initial value problems such as the shooting method which makes use of forward
methods such as Runge Kutta (e.g. Press et al., 1993, sec. 17.2). Alternatively, relaxation
methods rely on iterative solution of a finite difference representation of the boundary
value problem (e.g. Press et al., 1993, sec. 17.3).

3.3

Exercise: Solving ODEs Lorenz equations

Reading
Spiegelman (2004), chap. 4
Press et al. (1993), chap. 17 (16 in 2nd ed.)
Spencer and Ware (2008), sec. 16
We previously discussed the 4th order Runge Kutta method as a simple method to
solve initial value problems where the task is to forward integrate a vector y(t) from an
initial condition y0 (t = t0 ) to some time t f while the time derivatives of y are given by
dy
(t) = f (t, y, C )
dt

(3.24)

we made the dependence of f on constant parameters explicit in the C.

Numerically, this is done by successively computing yn+1 for time t + h from the last
known solution for yn at time t with time step h
yn+1 yn + hy0 (h, t, y, C )

(3.25)

where y0 denotes the approximate time-derivatives for y.

In a real application, we would use adaptive step-size control by means of error checking depending on the accuracy of our approximate method, or employ an entirely different approach (Press et al., 1993). Spencer and Ware (2008) discuss some of the algorithms
that are implemented in Matlab, and the problem set file rikitake.m1 is an example
for how to use the Matlab function ode45. However, the Runge-Kutta is good example
method and easy enough to implement.

3.3.1

The Lorenz equations solved with simple Runge Kutta

As an interesting example of a three-dimensional (y = {y1 , y2 , y3 }) ODE system are the

Lorenz (1963) equations. These equations are a simplified description of thermal convection in the atmosphere and an example of a low order, spectral numerical solution.
1 All

Matlab files for the problem sets are at http://geodynamics.usc.edu/~becker/teaching-557.

html; solutions are available for instructors upon request.

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CHAPTER 3. SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS

3.3.2

Digression for background not essential to solving this problem

set

For an incompressible fluid, conservation of mass, energy, and momentum for the convection problem can
be written as

v
T
+ v T
t
v
+ (v ) v
t

= 0

(3.26)

= 2 T

(3.27)

= 2 v

P + g.
0
0

(3.28)

Here, = /0 is dynamic viscosity, v velocity, T temperature, thermal diffusivity, g gravitational acceleration, density, and P pressure. In the Boussinesq approximation, ( T ) = 0 (1 ( T T0 )), where is
thermal expansivity and 0 and T0 reference density and temperature, respectively.
If we assume two-dimensionality (2-D) in x and z direction, and a bottom-heated box of fluid, the
box height d provides a typical length scale. If g only acts in z direction and all quantities are nondimensionalized by d, the diffusion time, d2 /, and the temperature contrast between top and bottom
T, we can write
T 0
+ v0 T 0
0
t


1
0
+ v
Pr t0

= 2 T 0
= 2 Ra

(3.29)
T 0
,
x 0

(3.30)

where the primed quantities are non-dimensionalized (more on this later). Eq. (3.30) is eq. (3.28) rewritten
in terms of vorticity , such that 2 = where is the stream-function, which relates to velocity as
v = k = {/z, /x }

(3.31)

and enforces incompressibility (mass conservation). The important part here are the two new non-dimensional
quantities that arise, the Prandtl and the Rayleigh numbers, which were discussed previously (eqs. 2.40 and
2.41).
Lorenz (1963) used a very low order spectral expansion to solve the convection equations. He assumed
that

W (t) sin (ax ) sin (z)

(1 z) + T1 (t) cos (ax ) sin (z) + T2 (t) sin (2z)

(3.32)
(3.33)

for convective cells with wavelength 2/a. This is an example of a spectral method where spatial variations
in properties such as T are dealt with in the frequency domain, here with one harmonic. Such an analysis
is also common when examining barely super-critical convective instabilities.

3.3.3

Problems

The resulting equations for the time dependent parameters of the approximate Lorenz
convection equations are
dW
= Pr ( T1 W )
dt
dT1
= WT2 + rW T1
dt
dT2
= WT1 bT2
dt
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(3.34)

CHAPTER 3. SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS

where b = 4/(1 + a2 ), r = Ra/Rac with the critical Rayleigh number Rac .
1. Identify W, T1 , and T2 as y1 , y2 , y3 and write up a Matlab code for a 4th order Runge
Kutta scheme to solve for the time-evolution of y using eq. (3.34) for derivatives.
Hint: You can code this any way you want, but consider the following (Figure 3.4):
You will want to separate a driver that deals with initial conditions, controlling the total time steps, plotting, etc., and an actual routine that computes the
Runge Kutta step following the formula we discussed in class. Those should
be separate m-files, or at least separate functions.
You will want to make the Runge Kutta stepper independent of the actual function that is needed to compute dy/dt so that you can reuse it for other problems
later. This can be done in Matlab by defining a function myfunc that computes
the derivatives, and then passing the function name myfunc as an argument to
the Runge Kutta time stepper. Within the time stepper, the function then then
has to be referred to as
@func. Alternatively, the function that computes the derivatives can be made
into its own .m file, in the same directory as the other subroutines, making it
available to all subroutines in that folder.
If you need some inspiration on how to do this, download the m-file fragments
we provide for this sections problem set, dydt.m, lorenz.m, and rkstep.m.
2. Use initial condition y0 = {0, 0.5, 0.5}, parameters b = 8/3, Pr = 10 and solve
for time evolution for all three variables from t = 0 to t = 50, using a time step
h = 0.005. Use r = 2 and plot T1 and T2 against time. Comment on the temporal
character of the solution, what does it correspond to physically?
3. Change r to 10, and then 24. Plot T1 and T2 against time, and also plot the phase
space trajectory of the system by plotting y in W, T1 , and T2 space using Matlab
plot3. Comment on how these solutions differ.
4. Increase r to 25 and plot both time behavior of T and the phase space trajectory.
What happened? Compare the r = 25 solution with the r = 24 solution from the
last question. Do you think r = 24 will remain steady for all times? Why? Why not?
5. Use r = 30 and show on one plot how T1 evolves with time for two different
initial conditions, the y0 from before, {0, 0.5, 0.5}, and a second initial condition
{0, 0.5, 0.50001}. Comment.
6. Compare your solution with h = 0.005 for T1 and an initial condition of your choice
in the r = 30 regime with the Matlab-internal ODE solver you deem most appropriate. Plot the absolute difference of the solutions against time. Comment.
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CHAPTER 3. SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS

50
45
40
35

30
25
20
15
10
5
0
30
20

20
15

10

10
5

0
5

10
T1

20

10
15
W

Figure 3.3: Solution to one of the problem set questions visualizing the behavior of the Lorenz
equations (the Lorenz attractor).

For help with making simple plots with Matlab, see Spencer and Ware (2008), for example.

3.3.4

Additional examples

1. If you are curious about additional Earth Science applications of ODEs, the literature
of geochemical modeling is full of it because it is often easiest, or most appropriate,
to consider fluxes between reservoirs of different chemical species with averages
properties, so-called box models (e.g. Albarede, 1995).
2. A classic example from magneto-hydrodynamics is the 3-D Rikitake dynamo model
that consists of two conducting, coupled rotating disks in a background magnetic
field. The Rikitake dynamo shows behavior similar to the Lorenz system and serves
as an analog for magnetic field reversal. The equations are
dx
= mx + yz
dt
dy
= my + (z a) x
dt
dz
= 1 xy
dt

(3.35)

with typical parameters for a of 4 or 10, m = 2, at initial conditions x, y, z = 5, 2, 2.

The file rikitake.m provides an example implementation of these equations using
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CHAPTER 3. SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS

function lorenz % this is only a function to allow function declarations
%
% Lorentz equation solver
% the ... parts will have to be filled in by you
%
% values to solve for
%
% y(1) : W
% y(2) : T1
% y(3) : T2
% parameters for the equations
parameters.r = ...; % Rayleigh number
parameters.Pr = ..; % Prandtl number
% initial values
y= [...];
time =0;tstop=50;
h = 0.005;% timestep
save_each = 1;
nstep=0;save_step=0;
while(time < tstop) % loop while time is smaller than tstop
if(mod(nstep,save_each)==0) % only save every save_each step
save_step=save_step+1;
ysave(save_step,:)=y;
...
end
% advance the y(1:3) solution by one 4th order Runge Kutta step
y = y + rkstep(....);
nstep=nstep+1;
time=time+h;
end
figure(1);clf % time series
plot(tsave,ysave(:,2))
xlabel(time);ylabel(temperature);
legend(T_1,T_2)

function dy = rkstep(.... )
%
%
% perform one 4th order Runge Kutta timestep and return
% the increment on y(t_n) by evaluating func(time,y,parameters)
%
% ... parts need to be filled in
%
%
% input values:
% h: time step
% t: time
% y: vector with variables at time = t which are to be advanced
% func: function which computes dy/dt
% parameters: structure with any parameters the func function might need
% save computations
h2=h/2;
k1 = h .* dydt(...);
k2 = h .* dydt(...);
....
% return the y_{n+1} timestep
dy = ....

function dydt = lorenz_dy(...)

%
% functions for Runge Kutta
%
%
% dW/dt = Pr (T1-w)
%
dydt(1) = ...
%
% dT1/dt = -W T2 + rW - T1
%
dydt(2) = ...
%
% dT2/dt = W T1 - b T2
%
dydt(3) = ... x

Figure 3.4: Suggested program structure for the Lorenz equation ODE solver exercise. Available
online as lorenz.m, rkstep.m, and dydt.m.

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CHAPTER 3. SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS

a Matlab ODE solver.
3. Examples from our own research where we have used simple ODE solutions, include some work on parameterized convection (Loyd et al., 2007), a method that
goes back at least to Schubert et al. (1980), see Christensen (1985). In this case, the
box is the mantle, and the total heat content of the mantle, as parameterized by the
mean temperature, is the property one solves for. I.e. we are averaging the PDEs
governing convection spatially, to solve for the time-evolution of average mantle
temperature.
The idea is that a convective system with Rayleigh number
Ra =

Tgh3

(3.36)

transports heat at Nusselt number Nu following a scaling of

Nu =

Q
= aRa
cT

(3.37)

(with some debate about , see, e.g. Korenaga, 2008, for a review). The energy balance
for the mantle is
dT
= H (t) Q
(3.38)
Cp
dt
where C p is the total heat capacity, H the time-dependent heat production through
radiogenic elements, and Q the heat loss through the surface. If viscosity is a function of temperature,


H
= 0 exp
(3.39)
RT
then the equations couple such that
dT
Cp
= H ( t ) Q0
dt

T
T0

 1+ 

( T0 )
(T )


.

(3.40)

We provide an example, thermal_all.m online. You might want to experiment with

the shooting method to explore feasible and unfeasable paths of Earths thermal
evolution from an initial to a final temperature.
4. Another example, from the brittle regime, are spring sliders. Instead of dealing with
full fault dynamics, one may consider a block that has a friction law apply at its base
and pulled by a string. Depending on the assumptions on the friction law, such a
system exhibits stick-slip behavior akin to the earthquake cycle. For rate-and-state
(i.e. velocity and heal-time) dependent friction (e.g. Marone, 1998) with two state
variables, spring-slider models exhibit interesting, chaotic behavior (Becker, 2000).
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CHAPTER 3. SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS

Figure 3.5: Poincare sections in y for the period doubling sequence to chaos for the spring-slider
system, eq. (3.41), as a function of normalized spring stiffness, 0 . Bottom figure shows zoom into
the dashed rectangular region highlighted on top (modified from Becker, 2000).

The equations are

dx
= e x (( 1 1) x + y z) + y z
dt
dy
y =
= (1 e x )
dt
dz
z =
= e x ( 2 x + z)
dt

x =

(3.41)

with 1 = 1, 2 = 0.84, and = 0.048 (Gu et al., 1984).

This behavior includes the characteristic period-doubling route toward chaos (Feigenbaum, 1978) as a function of a material parameter (spring stiffness), at critical =
0.08028 (Becker, 2000). You might want to reproduce the bifurcation plot of Figure 3.5.

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Part III
Partial differential equations

52

Chapter 4
Finite differences
4.1

Introduction to the finite difference method

We now turn to the solution of partial differential equations (PDEs), and the first method
that will be discussed is finite differences (FD). The solution of PDEs by means of FD is
based on approximating derivatives of continuous functions, i.e. the actual partial differential equation, by discretized versions of the derivatives based on discrete points of the
functions of interest.

4.1.1

Finite differences and Taylor series expansions

Finite difference approximations to PDEs can be derived through the use of Taylor series
expansions. Suppose we have a function f ( x ), which is continuous and differentiable
over the range of interest. Lets also assume we know the value f ( x0 ) and all the derivatives at x = x0 . The forward Taylor-series (eq. 6.4) expansion for f ( x0 + x ), away from
the point x0 by a small amount h (sometimes here also denoted by x), gives
f ( x0 )
h +
x
2 f ( x0 ) h2 3 f ( x0 ) h3
n f ( x0 ) h n
+
+
.
.
.
+
+
2!
3!
x n n!
x2
x3
O(hn+1 ).

f ( x0 + h ) = f ( x0 ) +

(4.1)

We can express the first derivative of f by rearranging eq. (4.1)

f ( x0 )
f ( x0 + h ) f ( x0 ) 2 f ( x0 ) h
3 f ( x0 ) h2
=

...
x
h
3!
x2 2!
x3

(4.2)

If we now only compute the first term of this equation as an approximation, we can write
a discretized version
f ( xi )
f
fi
= i +1
+ Oh
(4.3)
x
h
53

CHAPTER 4. FINITE DIFFERENCES

where functions f i = f ( xi ) are evaluated at discretely spaced xi with xi+1 = xi + h, where
the node spacing, or resolution, h (or x) is assumed constant. Here, O(h) indicates that
the full solution would require terms of order h, h2 , and so on. O is called the truncation
error, which means that if the distance h is made smaller and smaller, the (numerical
approximation) error decreases h. The forward FD derivative as expressed by eq. (4.3) is
therefore called first order accurate, and this means that very small h is required for an
accurate solution.
We can also expand the Taylor series backward
f ( x0 h ) = f ( x0 )

2 f ( x0 ) h2 3 f ( x0 ) h3
f ( x0 )
h+

+ ...
x
2!
3!
x2
x3

(4.4)

In this case, the first, backward difference can be obtained by

f f i 1
f ( xi )
= i
+ O(h).
x
h

(4.5)

Proceeding in a similar fashion, we can derive higher order derivatives. Introducing

the abbreviations
f
2 f
f0 =
(4.6)
, f 00 = 2 . . .
x
x
we can find, for example,
f i00+1 =

=
=

f i0+1 f i0
+ O(h)
h
f i +2 f i +1
f i+1h f i
h
+ O(h)
h
f i +2 2 f i +1 + f i
+ O(h)
h2

(4.7)
(4.8)
(4.9)

which is the first order accurate, forward difference approximation for second order derivatives around f i+1 .
If we wish to improve on accuracy, we can proceed by taking higher order terms of
the Taylor expansion, and using first order accurate estimates for the derivatives. For
example,
f ( x + h) f ( x ) h 00
f (x) + . . .
h
2
f ( x + h) f ( x )
=

h


h f ( x + 2h) 2 f ( x + h) + f ( x )
+ O(h) + O(h2 )
2
h2
f i +2 + 4 f i +1 3 f i
=
+ O(h2 ).
2h

f 0 (x) =

f i0+1

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(4.10)

or
(4.11)

CHAPTER 4. FINITE DIFFERENCES

Alternatively, we can form the average of the first order accurate forward and backward schemes, i.e. adding eqs. (4.3) and (4.5) and dividing by two. The result is the central
difference approximation of the first derivative
f i0 =

f i +1 f i 1
+ O(h2 )
2h

(4.12)

and also second order accurate.

Note that eq. (4.12) involves fewer function evaluations than eq. (4.11), which is why
eq. (4.12) is preferred for actual implementations. Also, both equations now require
knowledge of f over three lateral grid points (three point stencil), rather than two as
was needed for first order accuracy. Moreover, improving accuracy by taking higher and
higher order polynomial expansions into account only works if the function f is actually
smooth (i.e. differentiable) in that way, and not weird or jumpy. In this case, lower order
approximations may do just as well.
By adding eqs. (4.1) and (4.4) an approximation of the second derivative is obtained
f i00 =

f i +1 2 f i + f i 1
+ O(h2 ).
h2

(4.13)

A different way to derive the second derivative of second order accuracy is by computing, by central differences which we now know should yield second accuracy, the first
derivatives (theoretically!) as evaluated at the points in between, i + 1/2 and i 1/2,
and then computing the second derivative at i from this by using the central difference of
those two first derivatives:
f i0+1/2 =
f i01/2 =
f i00 =

f i +1 f i
h
f i f i 1
h
0
f i+1/2 f i01/2
h

f i +1 f i
h

f i f i 1
x

f i +1 2 f i + f i 1
h2

(4.14)

(This is important for derivatives with variable coefficients, cf. sec. 4.1.3.) If h is not constant, it should be computed as xi+1 xi . The second order derivative in this case is
identical to the equations above with xi+1 xi = xi xi1 = h.
Similarly, we can derive higher order derivatives, and higher order accuracy (but only
if f is of polynomial form). Both require more input values, a larger stencil. A general
approach to forming interpolations of f and dn f /dx n can be found in Fornberg (1996).
Note that the highest order derivative that usually occurs in geodynamics is the 4th -order
derivative.

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CHAPTER 4. FINITE DIFFERENCES

4.1.2

Finite difference approximations overview

The following equations are common finite difference approximations of derivatives which
are here provided for reference. Central differences with second order accuracy are typically good choices and highlighted in bold face. One of the few cases where you want
to use first order derivatives is for advection, where second order central is a very poor
choice because it introduces large artificial diffusion.
Left-sided first derivative, first order
u 
u u i 1
= i
+ O(h)

x i1/2
h
Right-sided first derivative, first order
u 
u ui
+ O(h)
= i +1

x i+1/2
h
Central first derivative, second order
u i +1 u i 1
u 
+ O(h2 )
 =
x i
2h
Central first derivative, fourth order
u 
ui+2 8ui+1 + 8ui1 ui2
+ O(h4 )
 =
x i
12h
Central second derivative, second order
2 u 
ui+1 2ui + ui1
+ O(h2 )
 =
2
x i
h2
Central second derivative, fourth order
2 u 
ui+2 + 16ui+1 30ui + 16ui1 ui2
+ O(h4 )
 =
2
x i
12h2
Central third derivative, second order
3 u 
ui+2 + 2ui+1 2ui1 + ui2
+ O(h2 )
 =
3
3
x i
2h
Central third derivative, fourth order
3 u 
ui+3 8ui+2 + 13ui+1 13ui1 + 8ui2 ui3
+ O(h4 )
 =
3
x i
8h3
Central fourth derivative, second order
4 u 
ui+2 4ui+1 + 6ui 4ui1 + ui2
=
+ O(h2 )

4
4
x i
h
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(4.15)

(4.16)

(4.17)

(4.18)

(4.19)

(4.20)

(4.21)

(4.22)

(4.23)

CHAPTER 4. FINITE DIFFERENCES

4.1.3

Derivatives with variable coefficients

Note that derivatives with of the following form




u
k( x)
,
x
x

(4.24)

where k is a function of space, should be formed as follows

u
k( x)
x


u u
u u
k i+1/2 i+1h i k i1/2 i h i1

+ O(h2 ),
 =
h
i

(4.25)

where k i1/2 is evaluated between ui and ui1 , to maintain the second order accuracy of
the central difference approach for second derivatives (eq. 4.14)
h
0
f 0 ( x + x
2 ) f (x 2 )
f =
,
h

00

(4.26)

i.e. the first derivatives are premultiplied with the cofficients in between the nodes. If k
is spatially varying, the following, common approximations are therefore inadequate to
maintain second order accuracy:

u u
u u
k i+1 i+1h i k i i h i1
u 
k
 =
x i
h


u 
ui+1 2ui + ui1

k
 = ki
x
x i
h2

Note: If k has strong jumps from one grid point to another that are not aligned with
the grid-nodes, most second-order methods will show first order accuracy at best.

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CHAPTER 4. FINITE DIFFERENCES

4.2

Finite difference example: 1D explicit heat equation

Finite difference methods are perhaps best understood with an example. Consider the
one-dimensional, transient (i.e. time-dependent) heat conduction equation without heat
generating sources



T
T
c p
=
k
(4.27)
t
x
x
where is density, c p heat capacity, k thermal conductivity, T temperature, x distance, and
t time. If the thermal conductivity, density and heat capacity are constant over the model
domain, the equation can be simplified to
2 T
T
= 2
t
x
where
=

(4.28)

k
c p

(4.29)

is the thermal diffusivity (a common value for rocks is = 106 m2 s1 ; also see discussion
in sec. 2.4).
We are interested in the temperature evolution versus time, T ( x, t), which satisfies
eq. (4.28), given an initial temperature distribution (Fig. 4.1A). An example would be the
intrusion of a basaltic dike in cooler country rocks. How long does it take to cool the
dike to a certain temperature? What is the maximum temperature that the country rock
experiences?
The first step in the finite differences method is to construct a grid with points on
which we are interested in solving the equation (this is called discretization, see Fig. 4.1B).
The next step is to replace the continuous derivatives of eq. (4.28) with their finite difference approximations. The derivative of temperature versus time T
t can be approximated
with a forward finite difference approximation as
T n+1 Tin
Tin+1 Tin
Tinew Ticurrent
T
in+1
=
=
.
t
t
t
t
tn

(4.30)

Here, n represents the temperature at the current time step whereas n + 1 represents the
new (future) temperature. The subscript i refers to the location (Fig. 4.1B). Both n and i
are integers; n varies from 1 to nt (total number of time steps) and i varies from 1 to n x
(total number of grid points in x-direction). The spatial derivative of eq. (4.28) is replaced
by a central finite difference approximation (cf. sec. 4.1.2), i.e.
2 T

=
2
x
x

T
x

Tin+1 Tin
x

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Tin Tin1
x

58

Tin+1 2Tin + Tin1

.
(x )2

(4.31)

CHAPTER 4. FINITE DIFFERENCES

country rock

dike

boundary nodes

i,n+1

i,n

i-1,n

i+1,n

time

T(x,0)

i,n-1

Dt
Dx

space

Figure 4.1: A) Setup of the thermal cooling model considered here. A hot basaltic dike intrudes
cooler country rocks. Only variations in x-direction are considered; properties in the other directions are assumed to be constant. The initial temperature distribution T ( x, 0) has a step-like
perturbation, centered around the origin with [W/2; W/2] B) Finite difference discretization of
the 1D heat equation. The finite difference method approximates the temperature at given grid
points, with spacing x. The time-evolution is also computed at given times with time step t.

Substituting eqs. (4.31) and (4.30) into eq. (4.28) gives

Tin+1 Tin
=
t

Tin+1 2Tin + Tin1

(x )2


.

(4.32)

The third and last step is a rearrangement of the discretized equation, so that all known
quantities (i.e. temperature at time n) are on the right hand side and the unknown quantities on the left-hand side (properties at n + 1). This results in:
 n

Ti+1 2Tin + Tin1
n +1
n
Ti
= Ti + t
(4.33)
(x )2
Because the temperature at the current time step (n) is known, we can use eq. (4.33) to
compute the new temperature without solving any additional equations. Such a scheme
is and explicit finite difference method and was made possible by the choice to evaluate
the temporal derivative with forward differences. We know that this numerical scheme
will converge to the exact solution for small x and t because it has been shown to
be consistent that its discretization process can be reversed, through a Taylor series
expansion, to recover the governing partial differential equation and because it is stable
for certain values of t and x: any spontaneous perturbations in the solution (such as
round-off error) will either be bounded or will decay.
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CHAPTER 4. FINITE DIFFERENCES

The last step is to specify the initial and the boundary conditions. If for example the
country rock has a temperature of 300 C and the dike a total width W = 5 m, with a
magma temperature of 1200 C, we can write as initial conditions:
T ( x < W/2, x > W/2, t = 0) = 300
T (W/2 x W/2, t = 0) = 1200

(4.34)
(4.35)

In addition we assume that the temperature far away from the dike center (at | L/2|) remains at a constant temperature. The boundary conditions are thus
T ( x = L/2, t) = 300
T ( x = L/2, t) = 300

(4.36)
(4.37)

The MATLAB code in Figure 4.2, heat1Dexplicit.m, shows an example in which the
grid is initialized, and a time loop is performed. In the exercise, you will fill in the question marks and obtain a working code that solves eq. (4.33).

4.2.1

Exercises

1. Open MATLAB and an editor and type the Matlab script in an empty file; alternatively use the template provided on the web if you need inspiration. Save the file
under the name heat1Dexplicit.m. If starting from the template, fill in the question
marks and then run the file by typing heat1Dexplicit in the MATLAB command
window (make sure youre in the correct directory). (Alternatively, type F5 to run
from within the editor.)
2. Study the time evolution of the spatial solution using a variable y-axis that adjusts
to the peak temperature, and a fixed axis with range axis([-L/2 L/2 0 Tmagma]).
Comment on the nature of the solution. What parameter determines the relationship
between two spatial solutions at different times?
Does the temperature of the country rock matter for the nature of the solution? What
about if there is a background gradient in temperature such that the country rock
temperature increases from 300 at x = L/2 to 600 at x = L/2?
3. Vary the parameters (e.g. use more grid points, a larger or smaller time step). Compare the results for small x and t with those for larger x and t. How are these
solutions different? Why? Notice also that if the time step is increased beyond a
certain value, the numerical method becomes unstable and does not converge it
grows without bounds and exhibits non-physical features.
Investigate which parameters affect stability, and find out what ratio of these parameters delimits this schemes stability region. This is called the CFL condition,
see von Neumann stability analysis in (cf. chap 5 of Spiegelman, 2004).

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CHAPTER 4. FINITE DIFFERENCES

%heat1Dexplicit.m
%
% Solves the 1D heat equation with an explicit finite difference scheme
clear
%Physical parameters
L
=
100;
Tmagma =
1200;
Trock
=
300;
kappa
=
1e-6;
W
=
5;
day
=
3600*24;
dt
=
1*day;
% Numerical
nx
=
nt
=
dx
=
x
=

%
%
%
%
%
%
%

parameters
201;
%
500;
%
L/(nx-1);
%
-L/2:dx:L/2;%

Length of modeled domain

Temperature of magma
Temperature of country rock
Thermal diffusivity of rock
Width of dike
# seconds per day
Timestep

[m]
[C]
[C]
[m2/s]
[m]
[s]

Number of gridpoints in x-direction

Number of timesteps to compute
Spacing of grid
Grid

% Setup initial temperature profile

T
=
ones(size(x))*Trock;
T(find(abs(x)<=W/2)) = Tmagma;
time
=
for n=1:nt

0;
% Timestep loop

% Compute new temperature

Tnew
=
zeros(1,nx);
for i=2:nx-1
Tnew(i) = T(i) + ?????;
end
% Set boundary conditions
Tnew(1)
=
T(1);
Tnew(nx)
=
T(nx);
% Update temperature and time
T
=
Tnew;
time
=
time+dt;
% Plot solution
figure(1), clf
plot(x,Tnew);
xlabel(x [m])
ylabel(Temperature [^oC])
title([Temperature evolution after ,num2str(time/day), days])
drawnow
end

Figure 4.2: MATLAB script heat1Dexplicit.m to solve eq. (4.28) (once the blanks indicated by the
questions marks are filled in . . . ).

4. Record and plot the temperature evolution versus time at a distance of 5 m from
the dikecountry rock contact. What is the maximum temperature the country rock
experiences at this location and when is it reached? Assume that the country rock
was composed of shales, and that those shales were transformed to hornfels above
a temperature of 600 C. What is the width of the metamorphic aureole?
5. Think about how one would write a non-dimensionalized version of the temperature solver.
6. Add a test with an analytical solution for diffusion and plot error vrs. resolution. A
good reference for analytical solutions for heat conduction problems is Carslaw and
Jaeger (1959), or see sec. 4.8.
The spatial discretization should be second order for a second order scheme.
7. Derive a finite-difference approximation for variable k (and variable x allowing for
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CHAPTER 4. FINITE DIFFERENCES

uneven spacing between grid points should you so desire). Test the solution for the
case of k = 10 inside the dike, and k = 3 in the country rock.

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CHAPTER 4. FINITE DIFFERENCES

4.3

Implicit FD schemes and boundary conditions

Reading
Press et al. (1993), sec. 19.2
Spiegelman (2004), sec. 6.1-6.5
Limited stability and numerical aliasing/dissipation are two major drawbacks of explicit finite difference codes such as the one presented in sec. 4.2. Next, we will discuss
methods that do not have these limitations.

4.3.1

Time derivatives explicit vrs. implicit

Previously, we solved the transient (time-dependent) heat equation in 1D. In the absence
of heat sources, the governing equation is
2 T
T
= 2
t
x

(4.38)

if material parameters are homogeneous.

In explicit finite difference schemes, the temperature at time n + 1 depends only on
the already known temperature at time n. The explicit finite difference discretization of
eq. (4.38) is
Tin+1 2Tin + Tin1
Tin+1 Tin
=
,
(4.39)
t
(x )2
using central differences for the spatial derivatives (subscript i indicating the x location
in 1-D, superscripts indicating the time). Eq. (4.39) can be rearranged in the following
manner (with all quantities at time n + 1 on the left and quantities at time n on the righthand-side)
Tin+1 2Tin + Tin1
n +1
n
Ti
= Ti + t
(4.40)
(x )2
Since we know Tin+1 , Tin and Tin1 , we can compute Tin+1 . This is schematically shown on
Figure 4.3a, and an algorithm based on eq. (4.40), such as the one of last sections problem
set, is called a forward time, centered space (FTCS) because of the way it is computed.
The major advantage of explicit finite difference methods is that they are relatively
simple, only one solution for T needs to be stored, and the method is computationally
fast for each time step. However, the main drawback is that stable solutions are obtained
only when
2t
(x )2
0<

1
or
t

for given x.
(4.41)
2
(x )2
If this condition is not satisfied, the solution becomes unstable, starts to wildly oscillate,
or blow up.
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Figure 4.3: A) Explicit finite difference discretization. B) Implicit finite difference discretization.
C) Crank-Nicolson finite difference discretization.

This can be shown by von Neumann stability analysis (Press et al., 1993, chap. 19.2),
analyzing the growth of of eigenmodes of the finite difference equation. However, physically, the stability condition eq. (4.41) means that the maximum time step needs to be
smaller than the time it takes for an anomaly to diffuse across the grid (nodal) spacing x
(cf. diffusion time in sec. 3.3). The explicit solution, eq. (4.40), is an example of a conditionally stable method that only leads to well behaved solutions if a criterion like eq. (4.41) is
satisfied.
Note that eq. (4.41) can only hold for t > 0; having a negative diffusivity, or using
a time-reversed t < 0, will invariably lead to blow up since small features will get emphasized rather than smoothed out. This is an issue if one wishes to reconstruct diffusiveadvective processes (such as mantle convection), going from the present-day temperature
field back in time (cf. Ismail-Zadeh and Tackley, 2010).
We will revisit an FTCS scheme similar to eq. (4.39) for advection that involves single derivatives in space later. Unlike eq. (4.39), the FTCS scheme for advection is always
unstable. Not a good idea.
Even if the FTCS for diffusion can be made stable, the stability condition leads to
numerical convenience issues. Given that we are typically interested in spatial features
with wavelength, , within the solution that are much larger than x,  x, because
we want to resolve the solution features at least with a few nodes, the explicit scheme,
eq. (4.39), will require
 2

1
(4.42)
x
steps per relevant time scale for the evolution of features, which is usually prohibitive.
An alternative approach is an implicit finite difference scheme, where the spatial derivatives 2 T/x2 are evaluated (at least partially) at the new time step. The simplest implicit
discretization of eq. (4.38) is
Tin++11 2Tin+1 + Tin+11
Tin+1 Tin
=
,
t
(x )2
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(4.43)

CHAPTER 4. FINITE DIFFERENCES

a fully implicit scheme where the time derivative is taken backward (Figure 4.3b). Eq. (4.43)
can be rearranged so that unknown terms are on the left and known terms are on the right

sTin++11 + (1 + 2s) Tin+1 sTin+11 = Tin

(4.44)

where
s=

t
.
(x )2

(4.45)

Note that in this case we no longer have an explicit relationship for Tin+11 , Tin+1 and Tin++11 .
Instead, we have to solve a linear system of equations, which is discussed further below.

Note: If the spatial derivative is of type

k( x) T
x


(4.46)

as for the case of the laterally varying conductivity in the explicit FD exercise for the heat
equation, then
rkr Tin++11 + [1 + r (k l + kr )] Tin+1 rk l Tin+11 = Tin
(4.47)
has to be used instead of eq. (4.44). Here, r = t/(x )2 and k l and kr are the material
parameters to the left (xi1/2 ) and right (xi+1/2 ), respectively.
The main advantage of implicit methods is that there are no restrictions on the time
step, the fully implicit scheme is unconditionally stable. This does not mean that it is accurate. Taking large time steps may result in an inaccurate solution for features with small
spatial scales. For any application, it is therefore always a good idea to check the results
by decreasing the time step until the solution does not change anymore (this is called a
convergence check), and to ensure the method can deal with small and large scale features
robustly at the same time.
Eq. (4.44) is also suited to understand the overall behavior of an implicit method for
large time steps. If we let t , and then divide eq. (4.44) by s, we get
Ti+1 2Ti + Ti1 = 0,

(4.48)

which is a central difference approximation of the steady state solution of eq. (4.38),
2 T
= 0.
x2

(4.49)

Therefore, the fully implicit scheme will always yield the right equilibrium solution but
may not capture small scale, transient features.
It turns out that the fully implicit method described by eq. (4.43) is second order
accurate in space but only first order accurate in time, i.e. O((x )2 , t). It is possible
to write down a scheme which is second order accurate both in time and in space (i.e.
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CHAPTER 4. FINITE DIFFERENCES

O((x )2 , (t)2 )). One such scheme is the Crank-Nicolson scheme (see exercises, Fig. 4.3C),
which is unconditionally stable. Note the analogy with the previous derivation of spatial derivatives: forward or backward differences were only first order accurate, while
the central difference approach achieved second order accuracy O((x )2 ). The CrankNicolson method is the time analog of central spatial differences. However, any partially
implicit method is more tricky to compute as we need to infer the future solution at time
n + 1 by solution (inversion) of a system of linear equations based on the known solution
at time n. This is discussed next.

4.4
4.4.1

Finite difference example: 1D implicit heat equation

Boundary conditions Neumann and Dirichlet

We solve the transient heat equation

T
=
c p
t
x

T
k
x


(4.50)

on the domain L/2 x L/2 subject to the following boundary conditions for fixed
temperature
T ( x = L/2, t) = Tle f t
T ( x = L/2, t) = Tright

(4.51)

T ( x < W/2, x > W/2, t = 0) = 300

T (W/2 x W/2, t = 0) = 1200,

(4.52)
(4.53)

with the initial condition

where we have again assumed a hot dike intrusion for W/2 x W/2.
Boundary conditions (BCs, see also sec. 2.2.3) for PDEs that specify values of the solution function (here T) to be constant, such as eq. (4.51), are called Dirichlet boundary
conditions. We can also choose to specify the gradient of the solution function, e.g. T/x
(Neumann boundary condition). This gradient boundary condition corresponds to heat flux
for the heat equation and we might choose, e.g., zero flux in and out of the domain (isolated BCs):
T
( x = L/2, t) = 0
x
T
( x = L/2, t) = 0.
x

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CHAPTER 4. FINITE DIFFERENCES

4.4.2

Solving an implicit finite difference scheme

As before, the first step is to discretize the spatial domain with n x finite difference points.
The implicit finite difference discretization of the temperature equation within the medium
where we wish to obtain the solution is eq. (4.44). Starting with fixed temperature BCs
(eq. 4.51), the boundary condition on the left boundary gives
T1 = Tle f t

(4.55)

Tnx = Tright .

(4.56)

and the one on the right

Eqs. (4.44), (4.55), and (4.56) can be written in matrix form as
Ax = b.

(4.57)

For a six-node grid, for example, the coefficient matrix A is

1
0
0
0
0
0
s (1 + 2s)
s
0
0
0

s
(
1
+
2s
)

s
0
0
A=
0
0
s
(1 + 2s)
s
0

0
0
0
s
(1 + 2s) s
0
0
0
0
0
1

(4.58)

the unknown temperature vector x is

x=

and the known right-hand-side vector b is

b=

T1n+1
T2n+1
T3n+1
T4n+1
T5n+1
T6n+1

Tle f t
T2n
T3n
T4n
T5n
Tright

(4.59)

(4.60)

Note that matrix A will have a unity entry on the diagonal and zero else for each node
where Dirichlet (fixed temperature) boundary conditions apply; see derivation below and
eqs. (4.72) and (4.73) for how to implement Neumann boundary conditions.
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Matrix A also has an overall peculiar form because most entries off the diagonal are
zero. This sparseness can be exploited by specialized linear algebra routines, both in
terms of storage and speed. By avoiding computations involving zero entries of the matrix, much larger problems can be handled than would be possible if we were to store
the full matrix. In particular, the fully implicit FD scheme leads to a tridiagonal system
of linear equations that can be solved efficiently by LU decomposition using the Thomas
algorithm (e.g. Press et al., 1993, sec. 2.4).

4.4.3

Matlab implementation

Within Matlab, we declare matrix A to be sparse by initializing it with the sparse function.
This will ensure a computationally efficient internal treatment within Matlab. Once the
coefficient matrix A and the right-hand-side vector b have been constructed, MATLAB
functions can be used to obtain the solution x and you will not have to worry about
choosing a proper matrix solver for now.
First, however, we have to construct the matrices and vectors. The coefficient matrix
A can be constructed with a simple loop:
A = sparse(nx,nx);
for i=2:nx-1
A(i,i-1) = -s;
A(i,i ) = (1+2*s);
A(i,i+1) = -s;
end
and the boundary conditions are set by:
A(1 ,1 ) = 1;
A(nx,nx) = 1;
(Exercise: Improve on the loop formulation for A assembly by using Matlab vector functionality.)
Once the coefficient matrix has been constructed, its structure can be visualized with
the command
>>spy(A)
(Try it, for example by putting a break-point into the Matlab code below after assembly.)
The right-hand-side vector b can be constructed with
b = zeros(nx,1);
b(2:nx-1) = Told(2:nx-1);
b(1) = Tleft; b(nx) = Tright;
The only thing that remains to be done is to solve the system of equations and find x.
MATLAB does this with
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CHAPTER 4. FINITE DIFFERENCES

x = A\b;
The vector x is now filled with new temperatures T n+1 , and we can go to the next time
step. Note that, for constant t, , and x, the matrix A does not change with time. Therefore we have to form it only once in the program, which speeds up the code significantly.
Only the vectors b and x need to be recomputed. (Note: Having a constant matrix helps a
lot for large systems because operations such as x = A\b can then be optimized further
by storing A in a special form.)

4.4.4

Exercises

1. Save the script heat1Dexplicit.m from last section as heat1Dimplicit.m. Program

the implicit finite difference scheme explained above. Compare the results with
results from last sections explicit code.
2. Time-dependent, analytical solutions for the heat equation exists. For example, if
the initial temperature distribution (initial condition, IC) is
   
x 2
(4.61)
T ( x, t = 0) = Tmax exp

where Tmax is the maximum amplitude of the temperature perturbation at x = 0 and

its half-width of the perturbance (use < L, for example = W). The solution is
then


x2
Tmax
(4.62)
exp
T ( x, t) =
2 + 4t
1 + 4t/2
(for T = 0 BCs at infinity). (See Carslaw and Jaeger, 1959, for useful analytical solutions to heat conduction problems).
Program the analytical solution and compare the analytical solution with the numerical solution with the same initial condition. Compare results of the implicit
and FTCS scheme used last section to the analytical solution near the instability
region of FTCS,
1
t
s=
<
.
(4.63)
2
(x )2

Note: Eq. (4.62) can be derived using a similarity variable, x = x/xc with xc t.
Looks familiar?
3. A steady-state temperature profile is obtained if the time derivative T/t in the
heat equation (eq. 4.38) is zero. There are two ways to do this.
(a) Wait until the temperature does not change anymore.
(b) Write down a finite difference discretization of 2 T/x2 = 0 and solve it. (See
the limit case consideration above.)
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Employ both methods to compute steady-state temperatures for Tle f t = 100 and
Tright = 1000 . Derive the analytical solution and compare your numerical solutions accuracies. Use the implicit method for part (a), and think about different
boundary conditions, and the case with heat production.
4. Apply no flux boundary conditions at | x | = L/2 and solve the dike intrusion problem in a fully implicit scheme. Eqs. (4.72) and (4.73) need to replace the first and last
columns of your A matrix.
5. Derive and program the Crank-Nicolson method (cf. Figure 4.3C). This best of both
worlds method is obtained by computing the average of the fully implicit and fully
explicit schemes:




n +1
n +1
n +1
n 2T n + T n
n +1
n
T

2T
+
T
+
T
Ti
Ti
i +1
i
i 1
i +1
i
i 1

.
=
(4.64)
2
t
2
(x )
This scheme should generally yield the best performance for any diffusion problem,
it is second order time and space accurate, because the averaging of fully explicit
and fully implicit methods to obtain the time derivative corresponds to evaluating
the derivative centered on n + 1/2. Such centered evaluation also lead to second
order accuracy for the spatial derivatives.
Compare the accuracy of the Crank-Nicolson scheme with that of the FTCS and fully
implicit schemes for the cases explored in the two previous problems, and for ideal
values of t and x, and for large values of t that are near the instability region of
FTCS.
Hint: Proceed by writing out eq. (4.64) and sorting terms into those that depend on
the solution at time step n + 1 and those at time step n, as for eq. (4.44).
6. Bonus question: Write a codefor the thermal equation with variable thermal con
T
ductivity k: c p T
t = x k x . Assume that the grid spacing x is constant. For
extra bonus, allow for variable grid spacing and variable conductivity.

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Figure 4.4: Discretization of the numerical domain with fictitious boundary points, that are employed to set flux boundary conditions.

4.5

Derivation of flux boundary conditions (fictitious boundary points)

A Neumann boundary condition can be expressed as

T ( x = 0, t)
= c1
x
T ( x = L, t)
= c2
x

(4.65)

These conditions can be implemented with a forward or a backward FD expression.

However, this is not preferred since such finite difference approximations are only first
order accurate in space (see last section). A better way to incorporate a flux boundary
conditions is therefore to use a central finite difference approximation, which is given (at
i = 1) by
T2 T0
= c1
2x

(4.66)

Tnx +1 Tnx 1
= c2 .
2x

(4.67)

and at i = n x by

The problem is, of course, that the expressions above involve points that are not part of
the original numerical grid (T0n+1 and Tnnx++11 ). These points are called fictitious boundary
points (Figure 4.4). A way around this can be found by noting that the equation for the
center nodes is given by
Tin++11 2Tin+1 + Tin+11
Tin+1 Tin
.
=
t
(x )2

(4.68)

Writing this expression for the first node gives

T1n+1 T1n
T n+1 2T1n+1 + T0n+1
= 2
.
t
(x )2
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(4.69)

CHAPTER 4. FINITE DIFFERENCES

An explicit expression for T0n+1 is obtained from eq. (4.66)
T0n+1 = T2n+1 2xc1 ,

(4.70)

i.e. we are simply extrapolating from T2 to T0 with the slope given by c1 . Substituting into
eq. (4.69) yields
T1n+1 T1n
2T n+1 2T1n+1 2xc1
= 2
.
(4.71)
t
(x )2
To apply this formulation in a fully explicit scheme, we can again rearrange terms to bring
known quantities on the right-hand-side:

(1 + 2s) T1n+1 2sT2n+1 = T1n 2sxc1 .

(4.72)

On the other end of the domain (verify!)

2sTnnx+11 + (1 + 2s) Tnnx+1 = Tnnx + 2sxc2 .

(4.73)

These equations now only involves grid points that are part of the computational grid,
and eqs. (4.72) and (4.73) can be incorporated into the matrix A and right-hand-side b
(compare with eq. 4.44).

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4.6

Non-linearities with FD methods

So far, we considered linear partial differential equations, where the coefficients in the
equations are either constant or only spatially variable, but are independent of time or
the solution itself. If the coefficients are dependent on the solution, a nonlinear problem
results.
There are a number of ways to solve such nonlinear problems. The easiest, rough
and ready way, which works in many cases, is to replace the nonlinear PDE by a linear
one, guess initial values for the solution and the parameters that depend on it, and then
perform iterations until the solution converges (Picard iterations).
Whether this method will converge will depend on the quality of the initial guess,
which becomes harder when the non-linearities are strong. More sophisticated methods
exist; the most important of which is linearization of the nonlinear terms and solution of
the (more complicated) PDE (e.g. Newton-Rhapson iterations). This method is converges
quadratically, as long as the initial guess is close to the final solution. It is, however, more
difficult to implement and will therefore not be discussed here.

4.6.1

Example

We consider a case of fluid flow in a porous media (governed by the Darcy equation)
whose diffusivity is a function of the fluid pressure (high fluid pressure increases permeability, p ). In a 1-D, vertical (z) column the governing equation shall be



P
P
=
( P)
(4.74)
t
z
z
where P is the fluid pressure, and ( P) the hydraulic diffusivity. The equation is nonlinear
because the diffusivity can be written as a function of the fluid pressure P, which is related
to the effect of dilation and cracking under enhanced fluid pressure.
To solve eq. (4.74), we need a constitutive law, and we assume that the hydraulic diffusivity is given by
( P) = 0 + cPm

(4.75)

where 0 is the background diffusivity, and c and m (semi-empirical) constants.

We will use a fully implicit scheme, so that the discretization is done in analogy (second order accurate second spatial derivative) to the implicit 1-D thermal diffusion problem:
P n +1 P n +1

P n +1 P n +1

1
1
i +1
i
i
i 1
in++1/2
in+1/2
Pin+1 Pin
x
x
=
(4.76)
t
x
where the material parameters are evaluated in between nodes, for example by computing an average
1
in+1/2

in+1 + in+11
=
.
2

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(4.77)

CHAPTER 4. FINITE DIFFERENCES

(If diffusivity were merely heterogeneous (such as in the previous explicit heat equation example), but not dependent on the solution itself, we could use a staggered grid
where would be specified at nodes located in between the locations where P is to be
computed. )
The implicit equations can again be solved in matrix form as
AP = b

(4.78)

for Pn+1 . The problem, however, is that depends on Pn+1 . Therefore we have to perform
iterations for the true Pn+1 and recompute A at each time step before advancing time. The
general recipe is
1
1. Use the pressure Pn to compute the diffusivities in+1/2
using eqs. (4.75) and (4.77).

2. Determine the coefficients in A using the estimated diffusivities.

3. Solve the system of equations to find the new pressure Pn+1 .
4. Use this new pressure estimate to recalculate diffusivities and the coefficients in A.
5. Return to step 2 and continue until the pressure Pn+1 stops changing, which indicates that the solution has converged. Use as an indication of convergence the
following error estimate:

error =

max ( abs(Pit Pit1 ))

max ( abs(Pit ))

(4.79)

If convergence is reached (e.g. relative error < 104 ), continue to the next time step.
Exercise
Write a program that solves the equations described above on the domain z [0; 1]
from t = 0 to t = 0.2. Assume that we have zero flux boundary conditions (i.e.
gradient P/z = 0 on top and bottom). Use non-dimensional parameter values
0 = 0.05, c = 1, m = 2 and time-step 0.005. The initial pressure is to be unity
within [0.4; 0.6] and zero else. At each time step, compare the nonlinear solution to
the linear one, obtained by setting c = 0, to visualize the effect of the non-linear
terms.

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CHAPTER 4. FINITE DIFFERENCES

i+1,j

i,j

i,j-1

i,j+1

i-1,j

Dz
Dx

L
x

Figure 4.5: Finite difference discretization of the 2D heat problem.

4.7

Two-dimensional heat equation with FD

We now revisit the transient heat equation, this time with sources/sinks, as an example
for two-dimensional FD problem. In 2D ({ x, z} space), we can write




T

T
c p
=
kx
+
kz
+Q
(4.80)
t
x
x
z
z
where, is density, c p heat capacity, k x,z the thermal conductivities in x and z direction,
and Q radiogenic heat production.
If the thermal conductivity is isostropic (k x = k z ) and constant, we can rewrite
T
=
t

4.7.1

2 T 2 T
+ 2
x2
z

Q
.
c p

(4.81)

Explicit method

The simplest way to discretize eq. (4.81) on a domain, e.g. a box with width L and height
H, is to employ an FTCS, explicit method like in 1-D
n +1
n
Ti,j
Ti,j

n
n
n
Ti,j
+1 2Ti,j + Ti,j1

(x )2

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n + Tn
Tin+1,j 2Ti,j
i 1,j

(z)2

n
Qi,j

c p

(4.82)

CHAPTER 4. FINITE DIFFERENCES

where x and z indicates the node spacing in both spatial directions, and there are now
two indices for space, i and j for zi and x j , respectively (Figure 4.5). Rearranging gives
n +1
Ti,j

n
Ti,j

+ sx

n
Ti,j
+1

n
2Ti,j

n
Ti,j
1

+ sz

Tin+1,j

n
2Ti,j

Tin1,j

n t
Qi,j

c p

(4.83)

where
t
t
and sz =
.
(4.84)
2
(x )
(z)2
Boundary conditions can be set the usual way. A constant (Dirichlet) temperature on
the left-hand side of the domain (at j = 1), for example, is given by
sx =

Ti,j=1 = Tle f t

for all i.

(4.85)

A constant flux (Neumann BC) on the same boundary at {i, j = 1} is set through fictitious
boundary points
T
= c1
x
Ti,2 Ti,0
= c1
2x
Ti,0 = Ti,2 2xc1

(4.86)

which can then be plugged into eq. (4.83) so that for j = 1, for example,


n +1
n
n
n
Ti,1
= Ti,1
+ s x 2Ti,2
2( Ti,1
+ xc1 )

Qn t
n
+ sz Tin+1,1 2Ti,1
+ Tin1,1 + i,1 .
c p

(4.87)

The implementation of this approach is straightforward as T can be represented as a matrix with Matlab, to be initialized, for example, for nz and n x rows and columns, respectively, as
T = zeros(nz, nx);
(4.88)
and then accessed as T(i,j) for Ti,j . The major disadvantage of fully explicit schemes is,
of course, that they are only stable if
2t
1.
min((x )2 , (z)2 )

4.7.2

(4.89)

Fully implicit method

If we employ a fully implicit, unconditionally stable discretization scheme as for the 1D

exercise, eq. (4.81) can be written as
n +1
n +1
n +1
n +1
n +1
n +1
n +1 !
n
n
Ti,j
Ti,j
Ti,j

2T
+
T
T

2T
+
T
Qi,j
+1
i +1,j
i,j
i 1,j
i,j
i,j1
=
+
+
.
(4.90)
t
c p
(x )2
(z)2
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CHAPTER 4. FINITE DIFFERENCES

nz

29

30

31

32

33

34

35

22

23

24

25

26

27

28

15

16

17

18

19

20

21

10

11

12

13

14

7
nx

x
Figure 4.6: Numbering scheme for a 2D grid with n x = 7 and nz = 5.

Rearranging terms with n + 1 on the left and terms with n on the right hand side gives

sz Tin++1,j1

n +1
s x Ti,j
+1

n +1
+ (1 + 2sz + 2s x ) Ti,j

sz Tin+1,j1

n +1
s x Ti,j
1

n
Ti,j

n t
Qi,j

c p

(4.91)

As in the 1D case, we have to write these equations in a matrix A and a vector b (and
use Matlab x = A\b to solve for T n+1 ). From a practical point of view, this is a bit more
complicated than in the 1D case, since we have to deal with book-keeping issues, i.e.
the mapping of Ti,j to the entries of a temperature vector T(k) (as opposed to the more
intuitive matrix T(i,j) we could use for the explicit scheme).
If a 2D temperature field is to be solved for with an equivalent vector T, the nodes
have to be numbered continuously, for example as in Figure 4.6. The derivative versus
x-direction is then e.g.
1
2 T
|i=3,j=4 =
( T 2T18 + T17 ) ,
2
x
(x )2 19

(4.92)

and the derivative versus z-direction is given by

1
2 T
|i=3,j=4 =
( T25 2T18 + T11 ) .
2
z
(z)2

(4.93)

If n x are the number of grid points in x-direction and nz the number of points in z-

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direction, we can write eqs. (4.92) and (4.93) in a more general way as:

2 T
1 
T
2T(i1)nx + j + T(i1)nx + j1
|i,j =
x2
(x )2 (i1)nx + j+1

2 T
1 
|
=
T

2T
+
T
i,j
( i 1) n x + j
( i 2) n x + j .
z2
(z)2 inx + j

(4.94)
(4.95)

In matrix format this gives something like (cf. eq. 4.91)

... 0 0

... 0 0

sz . . . s x (1 + 2s x + 2sz )
s x
. . . sz 0
0 0
0 0
A=
.
0 sz . . .
s x
(1 + 2s x + 2sz ) s x . . . sz
0 0
0 0
. .
.. ..
.. ..
. .

0 0 ... 0
0
0
0
0
0
0
0 ... 1 0
0 0 ... 0
0
0
0
0
0
0
0 ... 0 1
(4.96)
Note that we now have five diagonals filled with non-zero entries as opposed to three
diagonals in the 1D case. The solution vector x is given by

T1n+1 = T1,1

T2n+1 = T1,2

.
.

T n +1
= Ti,j

( i 1) n x + j
x = n +1
(4.97)
,
T(i1)n + j+1 = Ti,j+1
x

..

n
+
1
Tn n 1 = Tnz ,nx 1
x z
Tnnx+n1z = Tnz ,nx

1
0
..
.

0 ...
1 ...
..
.

0
0

0
0

0
0

0
0

0
0

0
0

and the load (right hand side) vector is given by (Q = 0 for simplicity)

Tbottom

Tbottom

..

T(ni1)n + j
x

.
b= n

T
( i 1) n x + j +1

..

Ttop
Ttop
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0
0

0
0

(4.98)

CHAPTER 4. FINITE DIFFERENCES

4.7.3

Other methods

The fully implicit method discussed above works fine, but is only first order accurate
in time (sec. 4.3). A simple modification is to employ a Crank-Nicolson time step discretization which is second order accurate in time. In practice, this often does not make a
big difference, but Crank-Nicolson is often preferred and does not cost much in terms of
additional programming. You may consider using it for diffusion-type equations.
A different, and more serious, issue is the fact that the cost of solving x = A\b is a
strong function of the size of A. This size depends on the number of grid points in x- (n x )
and z-direction (nz ). For a 2D problem with n x nz internal points, (n x nz )2 (n x nz )2
equations have to be solved at every time step. This quickly fills the computer memory
(especially if going to 3D cases).
For the special case of the temperature equation, different techniques have therefore
been developed. One such technique, is the alternating direction implicit (ADI) method.
It basically consists of solving the 2D equations half-explicit and half-implicit along 1D
profiles (what you do is the following: (1) discretize the heat equation implicitly in the
x-direction and explicit in the z-direction. (2) solve it for time n + 1/2, and (3) repeat
the same but with an implicit discretization in the z-direction). Compared to the other
methods, ADI is fast. However, ADI-methods only work if the governing equations have
time-derivatives, and unfortunately this is often not the case in geodynamics. In the exercises, we therefore focus on the fully implicit formulation. If, however, you have to write
a thermal solver at some point, you may strongly consider to use the ADI method (which
is still very fast in 3D).

4.8

Exercise: 2D heat equation with FD

You are to program the diffusion equation in 2D both with an explicit and an implicit discretization scheme, as discussed above. The problem to be considered is that of the thermal structure of a lithosphere of 100 km thickness, with an initial linear thermal gradient
of 13 K/km. Suddenly a plume with T = 1500 C impinges at the bottom of the lithosphere. What happen with the thermal structure of the lithosphere? A related (structural
geology) problem is that of the cooling of batholiths (like the ones in the Sierra Nevada).
1. Fill in the question marks in the script heat2Dexplicit.m (Figure 4.7), by programming the explicit finite difference scheme. Employ zero flux boundary conditions
T
x = 0 on the left and on the right-side of the domain (outside the top and bottom edges), and constant temperature conditions on the top and bottom. Ignore the
effects of radioactive heat.
2. Finish the code heat2Dimplicit.m (Figure 4.8), by programming the implicit finite
difference approximation of the 2D temperature equation.

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% Solves the 2D heat equation with an explicit finite difference scheme
clear
%Physical parameters
L
=
150e3;
%
Width of lithosphere
[m]
H
=
100e3;
%
Height of lithosphere
[m]
Tbot
=
1300;
%
Temperature of bottom lithosphere [C]
Tsurf
=
0;
%
Temperature of country rock
[C]
Tplume =
1500;
%
Temperature of plume
[C]
kappa
=
1e-6;
%
Thermal diffusivity of rock
[m2/s]
Wplume =
25e3;
%
Width of plume
[m]
day
=
3600*24;
%
# seconds per day
year
=
365.25*day; %
# seconds per year
% Numerical parameters
nx
=
101;
%
# gridpoints in x-direction
nz
=
51;
%
# gridpoints in z-direction
nt
=
500;
%
Number of timesteps to compute
dx
=
L/(nx-1);
%
Spacing of grid in x-direction
dz
=
H/(nz-1);
%
Spacing of grid in z-direction
[x2d,z2d] = meshgrid(-L/2:dx:L/2, -H:dz:0); % create grid
% Compute stable timestep
dt
= min([dx,dz])^2/kappa/4;
% Setup initial linear temperature profile
T
=
abs(z2d./H)*Tbot;
% Imping plume beneath lithosphere
ind
= find(abs(x2d(1,:)) <= Wplume/2);
T(1,ind) = Tplume;
time
=
0;
for n=1:nt
% Compute new temperature
Tnew = zeros(nz,nx);
sx = kappa*dt/dx^2;
sz = kappa*dt/dz^2;
for j=2:nx-1
for i=2:nz-1
Tnew(i,j) = ????;
end
end
% Set boundary conditions
Tnew(1,:)
= T(1 ,: );
Tnew(nz,:) = ?;
for i=2:nz-1
Tnew(i,1) = ?
Tnew(i,nx) = ?
end
T
=
Tnew;
time
=
time+dt;
% Plot solution every 50 timesteps
if (mod(n,50)==0)
figure(1), clf
pcolor(x2d/1e3,z2d/1e3,Tnew); shading interp, colorbar
hold on
contour(x2d/1e3,z2d/1e3,Tnew,[100:100:1500],k);
xlabel(x [km])
ylabel(z [km])
zlabel(Temperature [^oC])
title([Temperature evolution after ,num2str(time/year/1e6), Myrs])
drawnow
end
end

Figure 4.7: MATLAB script heat2D_explicit.m to solve the 2D heat equation using the explicit
approach.

3. A simple (time-dependent) analytical solution for the temperature equation exists

for the case that the initial temperature distribution is

( x2 + z2 )
T ( x, z, t = 0) = Tmax exp
2



(4.99)

where Tmax is the maximum amplitude of the temperature perturbation at ( x, z) =

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CHAPTER 4. FINITE DIFFERENCES

% Solves the 2D heat equation with an implicit finite difference scheme
clear
%Physical parameters
L
=
150e3;
%
Width of lithosphere
[m]
H
=
100e3;
%
Height of lithosphere
[m]
Tbot
=
1300;
%
Temperature of bottom lithosphere [C]
Tsurf
=
0;
%
Temperature of country rock
[C]
Tplume =
1500;
%
Temperature of plume
[C]
kappa
=
1e-6;
%
Thermal diffusivity of rock
[m2/s]
Wplume =
25e3;
%
Width of plume
[m]
day
=
3600*24;
%
# seconds per day
year
=
365.25*day; %
# seconds per year
dt
=
100e6*year;
%
timestep
% Numerical parameters
nx
=
51;
%
# gridpoints in x-direction
nz
=
51;
%
# gridpoints in z-direction
nt
=
100;
%
Number of timesteps to compute
dx
=
L/(nx-1);
%
Spacing of grid in x-direction
dz
=
H/(nz-1);
%
Spacing of grid in z-direction
[x2d,z2d] = meshgrid(-L/2:dx:L/2, -H:dz:0); % create grid
% Setup initial linear temperature profile
T
=
abs(z2d./H)*Tbot;
% Imping plume beneath lithosphere
ind
= find(abs(x2d(1,:)) <= Wplume/2);
T(1,ind) = Tplume;
% Setup numbering
num
= 1;
for i=1:nz
for j=1:nx
Number(i,j) = num;
num = num+1;
end
end
% Construct the A matrix
A
= sparse(nx*nz,nx*nz);
sx
= kappa*dt/dx^2;
sz
= kappa*dt/dz^2;
for i = 2:nz-1
for j = 2:nx-1
ii
= Number(i,j);
A( ii, Number(i+1,j )) =
??;
A( ii, Number(i ,j+1)) =
??;
??
end
end
% Set lower and upper BC
for j = 1:nx
??
end
% Set left and right BC
for i = 1:nz
??
end
time
=
0;
for n=1:nt
% Compute rhs
rhs
= zeros(nx*nz,1);
for i = 1:nz
for j = 1:nx
ii
= Number(i,j);
??
end
end
% Compute solution vector
Tnew_vector =
A\rhs;
% Create 2D matrix from vector
Tnew
=
Tnew_vector(Number);
T
=
Tnew;
time
=
time+dt;
% Plot solution every 50 timesteps
if (mod(n,10)==0)
figure(1), clf
pcolor(x2d/1e3,z2d/1e3,Tnew); shading interp, colorbar
hold on
contour(x2d/1e3,z2d/1e3,Tnew,[100:100:1500],k);
xlabel(x [km])
ylabel(z [km])
zlabel(Temperature [^oC])
title([Temperature evolution after ,num2str(time/year/1e6), Myrs])
drawnow
end
end

Figure 4.8: MATLAB script heat2D_explicit.m to solve the 2D heat equation using the implicit
approach.

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CHAPTER 4. FINITE DIFFERENCES

(0, 0) and its half-width. The solution is


( x2 + z2 )
T ( x, z, t) =
.
exp
2 + 4t
1 + 4t/2
Tmax

(4.100)

(As for the 1D

example, note that this uses a characteristic, time-dependent lengthscale of lc t, as expected for a diffusion problem (cf. sec. 2.4), and see Carslaw
and Jaeger (1959) for more analytical solutions.)
Program the analytical solution and compare it with the explicit and fully implicit
numerical solutions with the same initial conditions at each time step. Comment on
the accuracy of both methods for different values of dt.
4. Add the effects of radioactive heat to the explicit/implicit equations above. Use
Turcotte and Schubert (2002) or Google to find typical values of Q, , c p for rocks.
5. Bonus: Write a code for the thermal equation with variable thermal conductivity k.
Assume that the grid spacing x is constant. This type of code is not only relevant
for thermal problems, but also for problems like hydro-geological problems (Darcy
flow, e.g. how far did the chemical waste go into the aquifer?), fluid movements
through the crust and through fault zones (which is related to the creation of ore deposits), magma migration through the mantle, geochemistry and mineral reactions
at grain-boundary scale, and, aftershocks and fluids.

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4.9

Advection equations with FD

Reading
Spiegelman (2004), chap. 5
Press et al. (1993), sec. 19.1

4.9.1

The diffusion-advection (energy) equation for temperature in convection

So far, we mainly focused on the diffusion equation in a non-moving domain. This is

maybe relevant for the case of a dike intrusion or for a lithosphere which remains undeformed. However, more often, we want to consider problems where material moves
during the time period under consideration and takes temperature anomalies with it. An
example is a plume rising through a convecting mantle. The plume is hot and hence its
density is low compared to the colder mantle around it. The hot material rises with a
velocity that depends on the density anomaly and viscosity (see Stokes velocity, sec. 2.4).
If the numerical grid remains fixed in the background, the hot temperatures should be
moved to different grid points at each time step (see Figure 4.9 for an illustration of this
effect).
More generally speaking, mantle convection is an example of a system where heat is
transported by diffusion (temperature changes without moving mass, particularly important in the boundary layers) and advection (temperature changes by material transport,
dominant in the interior the domain). How strongly these two effects are partitioned is
indicated globally by the Rayleigh number, and locally by the Peclet number (sec. 2.4).
Mathematically, the temperature equation gets an additional term for advection in a
Eulerian (fixed grid) system, and the partial time derivative, /t, is replaced by the total
derivative

D
=
+ v ,
(4.101)
Dt
t
where this is equation is for an operator, that applies to a quantity, such as temperature.
In 1-D and in the absence of heat sources, the diffusion-advection equation becomes
(sec. 7)




T
T

T
+ vx
=
k
(4.102)
c p
t
x
x
x
or in 2-D


c p

T
T
T
+ vx
+ vz
t
x
z

=
x

T
k
x

+
z

T
k
z


(4.103)

where v x , vz are velocities in x-, respectively z-direction. If k is constant, the general equation can be written as
T
+ v T = 2 T.
(4.104)
t
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Figure 4.9: Snapshots of a bottom heated thermal convection model with a Rayleigh-number of
5 105 and constant viscosity (no internal heating). Temperature is advected through a fixed
(Eulerian) grid (circles) with a velocity (arrows) that is computed with a Stokes solver.

Heat sources would lead to additional terms on the right hand side. Since temperature
variations lead to buoyancy forces, the energy equation is coupled with the Stokes (conservation of momentum) equation from which velocities v can be computed to close the
system needed for a convection algorithm.
Mantle convection codes typically deal with advection of a temperature field assuming that there is significant diffusion at the same time, > 0, and will produce nonphysical artifacts in cases that are advection-dominated. One example would be if a
chemical composition C is to be treated akin to T,
C
+ v C = c 2 C.
t

(4.105)

Chemical diffusivities are for mantle purposes zero, c 0, and special tricks are required
to use field methods to solve
C
+ v C = 0
(4.106)
t
(e.g. Lenardic and Kaula, 1993), as discussed below. Often, one therefore uses tracer-based,
or particle methods where C is assigned to virtual particles that are then advected with
an ODE approach (to be solved with, e.g., Runge Kutta, sec. 3)
dC
=0
dt

and

dxi
=v
dt

(4.107)

where xi is the location of the i-th tracer moving through the fluid. We will return to
a hybrid approach (the semi-Lagrangian scheme) below, but see, e.g., Tackley and King
(2003) for a recent discussion of different tracer approaches. A related method is based
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on marker chains (e.g. van Keken et al., 1997), this works well if we are mainly interested in
tracking a single interface between different materials with C1 and C2 . For the latter problem, level set methods are also promising (e.g. Suckale et al., 2010; Samuel and Evonuk,
2010).

4.9.2

Advection (transport equations)

We will return to the combined (combo) solution of both diffusion and advection below,
but for now focus on the advection part. In the absence of diffusion (i.e. k, = 0), the 1-D
equations are
T
T
+ vx
=0
(4.108)
t
x
and
T
T
T
+ vx
+ vz
= 0.
(4.109)
t
x
z
We will now evaluate some options on how to solve these equations with a finite difference scheme on a fixed grid. Even though the equations appear simple, it is quite tricky
to solve them accurately, more so than for the diffusion problem. This is particularly the
case if there are large gradients in the quantity that is to be advected. If not done carefully, one can easily end up with strong numerical artifacts such as wiggles (oscillatory
artifacts) and numerical diffusion (artificial smoothing of the solution).
FTCS method
In 1-D, the simplest way to discretize eq. (4.108) is by employing a central difference
scheme in space, and go forward in time (another example of a forward-time, central
space, FTCS, scheme):
T n Tin1
Tin+1 Tin
= v x,i i+1
,
(4.110)
t
2x
where v x,i is the v x velocity at location i.
Exercise 1 We will consider a 1-D problem, with constant v x velocity in which an exponential pulse of temperature is getting advected along the x axis (see Figure 4.10 and
exercise_1_ftcs.m).
Program the FTCS method in the code of Figure 4.10 and watch what happens.
Change the sign of the velocity.
Change the time step and grid spacing and compute the non-dimensional parameter
|v x |t/x.
When do unstable results occur? Put differently, can you find a t small enough to
avoid blow-up?
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%
% FTCS advection schem
%
clear all
nx
=
201;
W
=
40;
% width of domain
Vel
=
-4;
% velocity
sigma
=
1;
Ampl
=
2;
nt
=
500;
% number of timesteps
dt
=
1e-2;
% timestep
dx
=
W/(nx-1);
x
=
0:dx:W;
% Initial Gaussian T-profile
xc
=
20;
T
=
Ampl*exp(-(x-xc).^2/sigma^2);
% Velocity
Vx
=
ones(1,nx)*Vel;
abs(Vel)*dt/dx
cfac = dt/(2*dx);
% Central finite difference discretization
for itime=1:nt
% central fin. diff
for ix=2:nx-1
Tnew(ix) = ???
end
% BCs
Tnew(1)
=
???
Tnew(nx)
=
???
% Update Solution & time incremement
T
=
Tnew;
time
=
itime*dt;
% Analytical solution for this case
T_anal
=
???
figure(1),clf, plot(x,T,x,T_anal), ...
legend(Numerical,Analytical)
xlabel(x)
ylabel(temperature)
drawnow
end

Figure 4.10: MATLAB script to be used with FTCS exercise 1.

As you can see from the exercise, the FTCS method does not work so well . . . In fact, it is
a nice example of a scheme that looks logical on paper, but looks can be deceiving. The
FTCS method is unconditionally unstable, blows up for any t, as can be shown by von
Neumann stability analysis (cf. chap 5 of Spiegelman, 2004). The instability is related to the
fact that this scheme produces negative diffusion, which is numerically unstable.
Lax method
The Lax approach consists of replacing the Tin in the time-derivative of eq. (4.110) with
( Tin+1 + Tin1 )/2. The resulting equation is
Tin+1 Tin1
Tin+1 ( Tin+1 + Tin1 )/2
= v x,i
t
2x

(4.111)

Exercise 2
Program the Lax method by modifying the script of the last exercise.
Try different velocities and t settings and compute the Courant number, , which is

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given by the following equation:
=

v x t
x

(4.112)

Is the numerical scheme stable for all Courant numbers?

What is the physical meaning of ? What happens for = 1 and why?
Bonus question: Implement a generalized Galerkin-Lax-Wendroff method using the
following equation:



n 2 (x )2 n
2 2
n +1
n
T =0
Mx
( Ti
Ti ) + x Ti
x
2
x i
(x )2 x2

(4.113)

where Mx = { 61 , 23 , 16 } and spatial derivatives are discretized using second order

central differences:


1
2
1 c2 (x )2 ( Tin++11 Tin+11 ) +
1 + c2 (x )2 Tin+1
6
3






2
2
2
1 2 (x )2
1 (x )
n
2
2
n
+
Ti+1 +
1 (x ) Ti +
+
Tin1
=
6 2
3
3
6 2
3
(4.114)
This formulation gives us much better accuracy (O(t2 , (x )2 ) by using a higher order discretization in both time and space. But what is its stability range in terms of
Courant number? Notice the difference in terms of artificial diffusion, and oscillations with respect to the simple Lax method.
As you saw from exercise 2, the Lax method does not blow up, but does have a lot of
numerical diffusion for 6= 1 (which is hard to attain for realistic problems, as v will vary
in space and time). In fact, the Lax criterion stabilized the discretized advection equation
by adding some artificial diffusion. So, its an improvement but its far from perfect, since
you may now lose the plumes of Figure 4.9 around mid-mantle purely due to numerical
diffusion. As for the case of the implicit versus explicit solution of the diffusion equation,
you see that there are trade-offs between stability and accuracy. There is no free lunch,
and numerical modeling is also a bit of an art.
The stability requirement
|V |t
1
(4.115)
=
x
is called the Courant criterion (Figure 4.11).

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CHAPTER 4. FINITE DIFFERENCES

Figure 4.11: Illustration of the Courant criterion (from Press et al., 1993, chap 19.1).

Streamline upwind scheme

A popular scheme is the so-called (streamline) upwind approach (Figure 4.12a). Here, the
spatial finite difference scheme depends on the sign of the velocity:
( Tn Tn
i
i 1
Tin+1 Tin
, if v x,i > 0
x
= v x,i
(4.116)
Tin+1 Tin
t
, if v x,i < 0
x

Note that we have replaced central with forward or backward derivatives, depending on
the flow direction. The idea is that the flux into the local cell at xi will only depend on the
gradient of temperature in the direction upstream, i.e. where the inflowing velocity is
coming from.
Exercise 3
Program the upwind scheme method.
Try different velocity distributions (not just constant) and compute the Courant
numbers .
Is the numerical scheme stable for all Courant numbers?
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The upwind scheme also suffers from numerical diffusion, and it is only first order
accurate in space. For some applications, particularly if theres also diffusion, it might
just be good enough because the simple trick of doing FD forward or backward is closer
to the underlying physics of transport than, say, FTCS. There are some mantle convection
codes that use streamline upwind schemes.
So far, we employed explicit discretizations. Youre probably wondering whether implicit discretizations will save us again this time. Bad news: they are not well-suited for
this type of problem (try it and see). Implicit schemes behave like parabolic partial differential equations (e.g. the diffusion equation) in that a perturbation at node ( j, n) will
affect the solution at all nodes at time level n + 1. With hyperbolic PDEs like the advection equation or the wave equation, disturbances travel at a finite speed (the speed of the
material displacement) and will not affect all nodes at time level n + 1. So we have to
come up with something else.
Modified Crank-Nicolson
One approach to solving the advection equation is the previously introduced CrankNicolson semi-implicit scheme. Here we modify it slightly by introducing a general mass
operator Mx = {, 1 2 , }.
"
Mx

Tin+1 Tin v ( Tin+1 Tin1 ) + ( Tin++11 Tin+11 )

+
t
2
2t

=0

(4.117)

Setting the mass operator to = 0 gives us the previously seen Crank-Nicolson semiimplicit finite difference discretization, while setting = 61 gives us the finite element
formulation. Below is eq. (4.117) written out with = 16 .


1 1

6 4

t
v
x



Tin+11





1
1 1
t
n +1
1
Ti
+
+
v
Tin++11
3
6 4
x








1 1
t
1
1 1
t
n
n
=
+
v
Ti1 + 1
Ti +

v
Tin+1
6 4
x
3
6 4
x
(4.118)

The finite element Crank-Nicolson advection scheme is stable for 1 and provides
an improvement over previous schemes in that it is accurate to O(t, (x )3 ). This allows
us to reduce the number of grid points to reach the same accuracy as the other schemes
presented, as long as t is kept small enough.
Staggered leapfrog
The explicit discretizations discussed so far were second order accurate in time, but only
first order in space. We can also come up with a scheme that is second order in time and
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CHAPTER 4. FINITE DIFFERENCES

(b)

(a)

Figure 4.12: Illustration of the upwind (a) and leapfrog (b) schemes (from Press et al., 1993,
chap 19.1).

space
T n Tin1
Tin+1 Tin1
= v x,i i+1
,
(4.119)
2t
2x
called staggered leapfrog because of the way its centered in shifted space-time (Figure 4.12b).
The computational inconvenience in this scheme is that two time steps have to be stored,
T n1 and T n .
Exercise 4
Program the staggered leapfrog method (assume that at the first time step T n1 =
T n ).
Try with different values of the Courant number and compare the accuracy and
stability of the different methods.
Also, make the width of the Gaussian curve smaller.
Bonus: Also program the two formulations of the Crank-Nicolson method with =
0 and = 16 .
The staggered leapfrog method works quite well regarding the amplitude and transport phase as long as is close to one. If, however,  1 and the length scale of the
to-be-transported quantity is small compared to the number of grid points (e.g. we have a
thin plume), numerical oscillations again occur (those are due to the lack of communication between cells, which can be remedied by artificial diffusion). The conditions where
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CHAPTER 4. FINITE DIFFERENCES

leapfrog does not work well are typically the case in mantle convection simulations (cf.
Figure 4.9). Onward ever, backward never.
Similarly, the Crank-Nicolson method works well for v 0.1 and 0.1, and eliminates the staggered problem. But what happens for 0.1? What about the finite
element formulation? What about computational time? Is Crank-Nicolsons increased
accuracy worth the extra work? Is it well-suited for mantle convection problems?
MPDATA
This is a technique that is frequently applied in (older) mantle convection codes. The idea
is based on Smolarkiewicz (1983) and represents an attempt to improve on the upwind
scheme by adding some anti-diffusion, which requires iterative corrections. The results
are pretty good, but MPDATA is somewhat more complicated to implement. Moreover
we still have a restriction on the time step (given by the Courant criterion), for details see
Spiegelman (2004).
Semi-Lagrangian approaches
What we want is a scheme that is stable, has only small numerical diffusion and is not
limited by the Courant criterion. A contender is the semi-Lagrangian method, which
is often used for climate modeling. The method is related to tracer-based advection by
solving ODEs and has little to do with the finite difference schemes we discussed so far.
Since this scheme could be the one that is most important for practical purposes we will go
in more detail. It has few drawbacks, one being that it is not necessarily flux conserving.
Basic idea The basic idea of the semi-Lagrangian method is illustrated in Figure 4.13A
and is given by the following, simplified scheme. Instead of allowing the numerical
scheme to transport noise in from unknown regions, the semi-Lagrangian method uses
transport by going back one (e.g. Euler) step.
For each point i at xi and time tn :
1. Assume that the future velocity v x (tn+1 , xi ) at xi is known. Under the assumption
that the velocity at the old time step is close to the future velocity (v x (tn+1 , xi )
v x (tn , xi )) and that velocity does not vary spatially (v x (tn , xi1 ) v x (tn , xi ) v x (tn , xi+1 )),
we can compute the location X where the particle came from by X = xi tv x (tn+1 , xi ).
2. Interpolate temperature from grid points { xi } to the location X at time tn , T (tn , X ).
For example, use cubic interpolation (in MATLAB use the command interp1(x,T,
X, cubic) for interpolation, where x is supposed to be the vector that holds the
{ xi }).
Note 1: Be careful with interpolation. For smooth functions, polynomial interpolation, say of
cubic order, is often a good idea. However, at edges, or if the function is otherwise discontinuous, ringing, i.e. large, wiggly excursions, can occur. Linear, or spline, interpolation
may be preferred.

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Note 2: Most of the Matlab interpolation functions will by default not extrapolate outside
the
[min( xi ), max ( xi )]
range and return NaN (not a number). If extrapolation is desired, extrap needs to be set
as an option when calling the interp1 function.

3. Assume that T (tn+1 , xi ) = T (tn , X ), i.e. temperature has been transported (along
characteristics) without any modification (e.g. due to diffusion).
This scheme assumes that no heat-sources were active during the advection of T from
T (tn , X ) to T (tn+1 , xi ). If heat sources are present and are spatially variable, some extra
care needs to be taken (Spiegelman, 2004, sec. 5.6.1).
Exercise 5
Program the semi-Lagrangian advection scheme illustrated in Figure 4.13A. Is there
a Courant criterion for stability?
Some improvements The algorithm described in Figure 4.13A illustrates the basic idea
of the semi-Lagrangian scheme. However, it has two problems. First it assumes that
velocity is spatially constant (which is clearly not the case in mantle convection simulations). Second, it assumes that velocity does not change between time n and n + 1. We
can overcome both problems by using a more accurate time stepping algorithm (see the
ODE section). An example is an iterative mid-point scheme which works as follows (cf.
Figure 4.13B):
For each point i
1. Use the velocity v x (tn+1 , xi ) to compute the location X 0 at time tn+1/2 (i.e. take half
a time step backward in time).
2. Find the velocity at the location X 0 at half time step tn+1/2 . Assume that the velocity
at the half time step can be computed as
v x (tn+1/2 , xi ) =

v x ( t n +1 , x i ) + v x ( t n , x i )
.
2

(4.120)

Use linear interpolation for the spatial interpolation of velocity v x (tn+1/2 , X 0 ).

3. Go back to point 1, but use the velocity v x (tn+1/2 , X 0 ) instead of v x (tn+1 , xi ) to move
the point xi (tn+1 ) backward in time. Repeat this process a number of times (e.g. 5
times). This gives a fairly accurate centered velocity.
4. Compute the location X at tn with the centered velocity X = xi tv x (tn+1/2 , X 0 ).
5. Use cubic interpolation to find the temperature at point X as before.
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vx(n+1,i)

n+1

Dt
n
T(n,i-2)

vx(n,i-1)
T(n,i-1)

time

time

CHAPTER 4. FINITE DIFFERENCES

true path

n+1

Dt

vx(n,i)
T(n,i)

n+1/2

n vx(n,i-2) x

vx(n,i-1)

space

vx(n+1,i)

vx(n,i)

space

Figure 4.13: Basics of the semi-Lagrangian method. See text for explanation.

Other ODE-motivated methods such as 4th order Runge Kutta are also possible (but
take a bit more work). Note that the various velocity interpolation and iteration schemes
add overhead that is, however, typically made up for by not needing to obey the Courant
criterion.
Exercise 6
Program the semi-Lagrangian advection scheme with the centered midpoint method
as illustrated in Figure 4.13B (cf. Spiegelman, 2004, p. 67).
Some care has to be taken if point X is outside of the computational domain, since
MATLAB will return NaN for the velocity (or temperature) of this point. If no extrapolation is desired, use the velocity v x (tn+1 , xi ) in this case. A pseudo-code is given
by
if isnan(Velocity)
Velocity = Vx(i)
end

2D advection example
The semi-Lagrangian method is likely a good, general advection algorithm (except in the
case of pseudo spectral methods), so this is the one we will implement in 2D.
Assume that velocity is given by
v x ( x, z) = z
vz ( x, z) = x

(4.121)
(4.122)

Moreover, assume that the initial temperature distribution is Gaussian and given by

( x + 0.25)2 + z2
T ( x, z) = 2 exp
0.12


with x [0.5, 0.5], z [0.5, 0.5].

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(4.123)

CHAPTER 4. FINITE DIFFERENCES

Exercise 7
Program advection in 2D using the semi-Lagrangian advection scheme with the
centered midpoint method.
Use the MATLAB routine interp2 for interpolation and employ linear interpolation
for velocity and cubic interpolation for temperature. A MATLAB script that will get
you started is shown on Figure 4.14 (semi_lagrangian_2D_1.m).

4.9.3

Advection and diffusion: operator splitting

In geodynamics, we often want to solve the coupled advection-diffusion equation, which

is given by eq. (4.102) in 1-D and by eq. (4.103) in 2-D. We can solve this pretty easily
by taking the equation apart and by computing the advection part separately from the
diffusion part. This is called operator-splitting, and what is done in 1-D is, for example:
First solve the advection equation
T
T n+1 T n
+ vx
=0
t
x

(4.124)

for example by using a semi-Lagrangian advection scheme. Then solve the diffusion
equation



T
T
=
k
+ Q.
(4.125)
c p
t
x
x
For this, we assumed that Q is spatially constant; if not, one should consider to slightly
improve the advection scheme by introducing source terms. A good general method
would be to combine Crank-Nicolson for diffusion with a semi-Lagrangian solver for
advection (Spiegelman, 2004, sec. 7.2), but we will try something simpler first:
Exercise 8
Program diffusion-advection in 2D using the semi-Lagrangian advection scheme
coupled with an implicit 2D diffusion code (from last sections exercise). Base your
code on the script of Figure 4.14.

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CHAPTER 4. FINITE DIFFERENCES

% semi_lagrangian_2D: 2D semi-lagrangian
%

with center midpoint time stepping method

clear all
W
sigma
Ampl
nt
dt

=
=
=
=
=

40;
.1;
2;
500;
5e-1;

% width of domain

% number of timesteps

% Initial grid and velocity

[x,z]
=
meshgrid(-0.5:.025:0.5,-0.5:.025:0.5);
nz
=
size(x,1);
nx
=
size(x,2);
% Initial gaussian T-profile
T
=
Ampl*exp(-((x+0.25).^2+z.^2)/sigma^2);
% Velocity
Vx
=
Vz
=

z;
-x;

for itime=1:nt
Vx_n
= Vx;
%
Velocity at time=n
Vx_n1
= Vx;
%
Velocity at time=n+1
Vx_n1_2 = ??;
%
Velocity at time=n+1/2
Vz_n
= ??;
%
Velocity at time=n
Vz_n1
= ??;
%
Velocity at time=n+1
Vz_n1_2 = ??;
%
Velocity at time=n+1/2
Tnew
=
zeros(size(T));
for ix=2:nx-1
for iz=2:nz-1

%
%
%
%

Vx_cen = Vx(iz,ix);
Vz_cen = Vz(iz,ix);
for ??
X =?
Z = ?

%
%
%

%linear interpolation of velocity

Vx_cen = interp2(x,z,?,?, ?, linear);
Vz_cen = interp2(x,z,?,?, ?, linear);

%
%

if isnan(Vx_cen)
Vx_cen =
Vx(iz,ix);
end
if isnan(Vz_cen)
Vz_cen =
Vz(iz,ix);
end

%
%
%

end
X = ?;
Z = ?;
% Interpolate temperature on X
T_X = interp2(x,z,?,?,?, cubic);
if isnan(T_X)
T_X = T(iz,ix);
end

Tnew(iz,ix) = T_X;
end
end
Tnew(1,:)
Tnew(nx,:)
Tnew(:,1)
Tnew(:,nx)

=
=
=
=

T(1,:);
T(nx,:);
T(:,1);
T(:,nx);

T
time

=
=

Tnew;
itime*dt;

figure(1),clf
pcolor(x,z,T), shading interp, hold on, colorbar
contour(x,z,T,[.1:.1:2],k),
hold on, quiver(x,z,Vx,Vz,w)
axis equal, axis tight
drawnow
pause
end

Figure 4.14: MATLAB script to be used with exercise 7.

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Figure 4.15: Staggered grid definition. Properties such as viscosity and density inside a control
volume (gray) are assumed to be constant. Moreover, a constant grid spacing in x and z-direction
is assumed.

4.10

2D Stokes equations on a staggered grid using primitive variables

4.10.1

Introduction

The basis of basically all mantle convection and lithospheric dynamics codes are the socalled Stokes equations for slowly moving viscous fluids. These equations describe the
balance between buoyancy forces (e.g. due to temperature variations in the fluid) and
viscous drag (sec. 7). Here, we will describe the governing equations. There are several
ways to solve those equations, and the goal of this project is to use a staggered finite
difference approach in primitive variables.
For this, we solve the governing equations for v = {v x ; vz } (velocities) and p (pressure). Staggered finite differences means that the different unknowns v x , vz , p are defined
at physically different grid points. The main challenges of this project are, 1), having several variables instead of only one (e.g. temperature), and, 2), to do the bookkeeping for the
present case that the variables are at different grid points. (While the governing equations
are different, those computational challenges are similar to those arising in the staggered
grid, finite difference approach for wave propagation discussed in sec. 4.12.2.)

4.10.2

Governing equations

It is assumed that the rheology is incompressible and that the rheology is Newtonian
viscous, i.e. = 2 with no function of ,
where is the stress tensor, viscosity, and
strain-rate tensor. In this case, the governing equations in 2D (x and z) are (see sec. 7):

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CHAPTER 4. FINITE DIFFERENCES

v x vz
+
= 0
x
z
xx xz
+
= 0
x
z
xz zz
+
g = 0
x
z
v x
x
vz
= p + 2
z 

v x vz
+
,
=
z
x

(4.126)
(4.127)
(4.128)

xx = p + 2

(4.129)

zz

(4.130)

xz

(4.131)

where is density and g = {0, g} the gravitational acceleration. The density is where
these continuum and force balance equations (eqs. 4.126 to 4.128) couple to the the energy
equation, e.g. the diffusion and advection of temperature for mantle convection, discussed
in the previous sections.
It has been suggested that a particularly nice way to solve these equations is to use a
staggered grid (more about this later) and to keep as variables v x , vz and p (Gerya and Yuen,
2003; Gerya, 2009).1 Since there are three variables, we need three equations. Substituting
eqs. (4.129)-(4.131) into eq. (4.127) and eq. (4.128) leads to:
p
v x vz
+
=
x
z



 

P

v x

v x vz

+2

+
= 0
x
x
x
z
z
x


 

P

vz

v x vz

+2

+
= g
z
z
z
x
z
x

(4.132)
(4.133)
(4.134)

Note that we added the term P to the incompressibility equations. This is a trick called
the penalty method, which ensures that the system of equations does not become illposed. For this to work, should be sufficiently large ( 104 or so), so that the condition
of incompressibility (conservation of mass, eq. 4.126) is approximately satisfied.

4.10.3

Exercise

1. Discretize eqs. (4.132)-(4.134) on a staggered grid as shown on Figure 4.15.

2. A MATLAB subroutine is shown on Figure 4.16. The subroutine sets up the grid,
the node numbering and discretizes the incompressibility equations.
1 For

a comparison of different finite difference approaches, see ?, for example.

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CHAPTER 4. FINITE DIFFERENCES

% Solve the 2D Stokes equations on a staggered grid, using the Vx,Vz,P formulation.
clear
% Material properties
%
phase #1 phase #2
mu_vec
=
[1
1
];
rho_vec
=
[1
2
];
% Input parameters
Nx
=
20;
Nz
=
.9*Nx;
W
=
1;
H
=
1;
g
=
1;
% Setup the interface
x_int
=
0:.01:W;
z_int
=
cos(x_int*2*pi/W)*1e-2 - 0.5;
% Setup the grids---------------------------------------------------------dz
=
H/(Nz-1);
dx
=
W/(Nx-1);
[X2d,Z2d]
=
meshgrid(0:dx:W,-H:dz:0);
XVx
=
[X2d(2:end,:) + X2d(1:end-1,:)]/2; % Vx
ZVx
=
[Z2d(2:end,:) + Z2d(1:end-1,:)]/2;
XVz
=
[X2d(:,2:end) + X2d(:,1:end-1)]/2; % Vz
ZVz
=
[Z2d(:,2:end) + Z2d(:,1:end-1)]/2;
XP
=
[X2d(2:end,2:end) + X2d(1:end-1,1:end-1)]/2; % p
ZP
=
[Z2d(2:end,2:end) + Z2d(1:end-1,1:end-1)]/2;
% Compute material properties from interface, properties are computed in the center of a control volume
Rho
=
ones(Nz-1,Nx-1)*rho_vec(2);
Mu
=
ones(Nz-1,Nx-1)*mu_vec(2);
z_int_intp
=
interp1(x_int,z_int,XP(1,:));
for ix = 1:length(z_int_intp)
ind
=
find(ZVz(:,1)<z_int_intp(ix));
Rho(ind(1:end-1),ix) = mu_vec(1);
Mu(ind(1:end-1),ix) = rho_vec(1);
fac
= (z_int_intp(ix) - ZVz(ind(end),1))/dz;
Rho(ind(end),ix) = fac*rho_vec(1) + (1-fac)*rho_vec(2);
Mu(ind(end),ix)
= fac*mu_vec( 2) + (1-fac)*mu_vec( 2);
end
% Setup numbering scheme---------------------------------------------------Number_Phase
=
zeros(Nz + Nz-1, Nx + Nx-1); % Create the general numbering scheme
Number_ind
=
zeros(Nz + Nz-1, Nx + Nx-1); % Create the general numbering scheme
Number_Vx
=
zeros(Nz-1,Nx );Number_Vz
=
zeros(Nz ,Nx-1);
Number_P
=
zeros(Nz-1,Nx-1);
for ix=1:2:Nx+Nx-1, for iz=2:2:Nz+Nz-1, Number_Phase(iz,ix) = 1; end; end % Vx equations
for ix=2:2:Nx+Nx-1, for iz=1:2:Nz+Nz-1, Number_Phase(iz,ix) = 2; end; end % Vz equations
for ix=2:2:Nx+Nx-1, for iz=2:2:Nz+Nz-1, Number_Phase(iz,ix) = 3; end; end % P equations
num
=
1;
for ix=1:size(Number_Phase,2)
for iz=1:size(Number_Phase,1)
if Number_Phase(iz,ix)~=0
Number_ind(iz,ix)
=
num;
num
=
num+1;
end
end
end
num_eqns
=
num-1;
ind_Vx
=
find(Number_Phase==1); Number_Vx(find(Number_Vx==0)) = Number_ind(ind_Vx);
ind_Vz
=
find(Number_Phase==2); Number_Vz(find(Number_Vz==0)) = Number_ind(ind_Vz);
ind_P
=
find(Number_Phase==3); Number_P (find(Number_P ==0)) = Number_ind(ind_P );
% Setup the stiffness matrix
A
=
sparse(num_eqns,num_eqns);
Rhs_vec
=
zeros(num_eqns,1);
% Setup the incompressibility equations-----------------------------------ind_list = [];ind_val = [];
[ind_list,ind_val] = Add_coeffs(ind_list,ind_val, Number_Vx(:,2:end ), ( 1/dx));%dVx/dx
[ind_list,ind_val] = Add_coeffs(ind_list,ind_val, Number_Vx(:,1:end-1), (-1/dx));
[ind_list,ind_val] = Add_coeffs(ind_list,ind_val, Number_Vz(2:end,: ), ( 1/dz));%dVz/dz
[ind_list,ind_val] = Add_coeffs(ind_list,ind_val, Number_Vz(1:end-1,:), (-1/dz));
% Add local equations to global matrix
for i=1:size(ind_list,2)
A = A + sparse([1:size(ind_list,1)].,ind_list(:,i),ind_val(:,i),num_eqns,num_eqns);
end
num_incomp = length(ind_list);
% Perform testing of the system of equation, setup some given matrixes
mu = mu_vec(1);
Vx
=
cos(XVx).*sin(ZVx);
Vz
=
-sin(XVz).*cos(ZVz);
P
=
2*mu*sin(XP ).*sin(ZP );
C
=
zeros(num_eqns,1);
C(Number_Vx(:))
=
Vx(:);
C(Number_Vz(:))
=
Vz(:);
C(Number_P(:))
=
P(:);
Rhs
=
A*C;
% Check whether the compressibility equations are implemented correctly
max(abs(Rhs(1:num_incomp)))

Figure 4.16: MATLAB script Staggered_Stokes.m that sets up numbering, matrix A and that
solves the incompressibility equations.

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CHAPTER 4. FINITE DIFFERENCES

function [ind_list,ind_val] = Add_coeffs(ind_list,ind_val,ind_add,val_add)% Add coefficients to an array
if (length(val_add(:))==1)
val_add =
ones(size(ind_add))*val_add;
end
ind_list
=
[ind_list, ind_add(:)];ind_val
=
[ind_val , val_add(:)];

Figure 4.17: MATLAB script Add_coeffs.m, used by Staggered_Stokes.m.

Figure 4.18: Staggered grid definition with the boundary points. Within the purple domain, the
finite difference scheme for center points can be applied. At the boundaries, we have to apply a
special finite difference scheme which employ fictious boundary nodes.

Add the discretization of the force balance equations (including the effects of gravity) into the equation matrix A. Assume that the viscosity is constant and = 1 in a
first step, but density is variable.
An example is given in how to verify that the incompressibility equation is incorporated correctly. This is done by assuming a given (sinusoidal) function for, lets say,
v x (e.g. v x = cos(x ) cos(z)). From the incompressibility equation (eq. 4.126) a solution for vz than follows. By setting those solutions in the c vector, we can compute
Ac and verify that rhs for those equations is indeed zero.
3. Add free-slip boundary conditions on all sides (which means vz = 0, xz = 0 on
the lower and upper boundaries and xz = 0, v x = 0 on the side boundaries). Use
fictious boundary points to incorporate the xz boundary conditions.
4. Assume a model domain x = [0; 1], z = [0; 1], and assume that the density below
z = 0.1 cos(2x ) + 0.5 is 1, whereas the density above it is 2. Compute the velocity
and pressure, and plot the velocity vectors.
5. Write the code for the case of variable viscosity (which is relevant for the Earth since
rock properties are a strong function of temperature).

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Figure 4.19: Discretization for the streamfunction approach. The boundary conditions are set
through fictious boundary points.

4.11

Stokes equations with FD on a staggered grid using

the stream-function approach.

4.11.1

Introduction

As was discussed in sec. 4.10, the basis of basically all mantle convection and lithospheric
dynamics codes are the Stokes equations for slowly moving viscous fluids.
There are several ways to solve those equations, and the goal of this exercise is to
use a streamfunction, finite difference approach. Stream function means that there is a
potential field which we solve for, and then obtain velocities from the derivatives of this
field. The advantage of this approach is that the continuity equation for incompressible
flow can be satisfied implicitly, rather than having to use a panelty parameter as for the
primitive variable approach of sec. 4.10. (It is, however, possible to formulate the stream
function method for compressible convection approximations, e.g. ?). For a comparison
of different finite difference approaches, see ?, for example.
The main challenges of this project are, 1), having fairly high-order and mixed derivatives (up to 4th order) and, 2), setting of boundary conditions.

4.11.2

Governing equations

It is assumed that the rheology is incompressible and that the rheology is Newtonian
viscous. In this case, the governing equations are (see sec. 7):

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CHAPTER 4. FINITE DIFFERENCES

v x vz
+
= 0
x
z
xx xz
+
= 0
x
z
xz zz
+
g = 0
x
z
v x
x
vz
= p + 2
z 

v x vz
+
=
z
x

(4.135)
(4.136)
(4.137)

xx = p + 2

(4.138)

zz

(4.139)

xz

(4.140)

By substituting eqs. (4.138)-(4.140) into eqs. (4.135)-(4.137), we obtain (compare sec. 4.10)
v x vz
+
= 0
x
z


 


v x

v x vz
p

+
= 0
+2
x
x
x
z
z
x


 

p

vz

v x vz
+2

+
= g
z
z
z
x
z
x

(4.141)
(4.142)
(4.143)

We can eliminate pressure from eqs. (4.142) and (4.143) by taking the derivative of eq. (4.142)
versus z and subtracting eq. (4.143) derived versus x. This results in:




v x
2
vz
2

+
2
xz
x
xz
z


 
 
2

2
v x vz
v x vz
+
2
+
= g.
(4.144)

2
z
x
z
x
x
z
x
We can also use the incompressibility constraint (4.141) to simplify things a little bit more:


2
vz
4

+
xz
z
 

 

2
v x vz
2
v x vz

+
2
+
= g
(4.145)
2
z
x
z
x
x
z
x
Now we introduce a variable (the stream function) which is defined by its relationship to the velocities as

=
x

vx =

(4.146)

vz

(4.147)

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CHAPTER 4. FINITE DIFFERENCES

Note that satisfies incompressibility by plugging eqs. (4.146) and (4.147) into eq. (4.135).
By using , we can write eq. (4.145) as:
 2 
2

4

+
xz
xz
  2

  2

2
2
2

2
= g.
2
2
2
2
2
x
z
z
x
x
z
x

(4.148)

Note that this equation now has 4th order derivatives for (easier to see for constant ,
where we can pull the viscosity out of the derivatives.) The challenge is to solve eq. (4.148)
for given then density gradients.

4.11.3

Exercise

1. Discretize eq. (4.148) on a grid as shown on Figure 4.19.

2. A MATLAB subroutine is shown on Figure 4.20. The subroutine sets up the grid and
the node numbering. Finish the code by programming the discretized eq. (4.148).
To start simple, assume that viscosity is constant.
3. Add free-slip boundary conditions on all sides (which means vz = 0, xz = 0 on the
lower and upper boundaries and xz = 0, v x = 0 on the side boundaries; youll have
to write these equations in terms of and employ fictious boundary points).
4. Assume a model domain x = [0; 1], z = [0; 1], and assume that the density below
z = 0.1 cos(2x ) + 0.5 is 1, whereas the density above it is 2. Compute the velocity,
and plot the velocity vectors.
5. Write the code for the case of variable viscosity (which is relevant for the Earth since
rock properties are a strong function of temperature).

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CHAPTER 4. FINITE DIFFERENCES

% Solve the 2D Stokes equations on a staggered grid, using the Vx,Vz,P

% formulation.
clear
% Material properties
phase #1 phase #2
mu_vec = [1 1 ];
rho_vec = [1 2 ];
% Input parameters
Nx = 6;
Nz = 6;
W = 1;H = 1;g = 1;
% Setup the interface
x_int = 0:.01:W;
z_int = cos(x_int*2*pi/W)*1e-2 - 0.5;
% Setup the grids---------------------------------------------------------dz = H/(Nz-1);dx = W/(Nx-1);
[X2d,Z2d] = meshgrid(0:dx:W,-H:dz:0);
%-------------------------------------------------------------------------% Compute material properties from interface------------------------------% Properties are computed in the center of a control volume
Rho = ones(Nz,Nx)*rho_vec(2);
Mu = ones(Nz,Nx)*mu_vec(2);
z_int_intp = interp1(x_int,z_int,X2d(1,:));
for ix = 1:length(z_int_intp)
ind = find(Z2d(:,1)<z_int_intp(ix));
Rho(ind(1:end-1),ix) = mu_vec(1);
Mu(ind(1:end-1),ix) = rho_vec(1);
fac = (z_int_intp(ix) - Z2d(ind(end),1))/dz;
Rho(ind(end),ix) = fac*rho_vec(1) + (1-fac)*rho_vec(2);
Mu(ind(end),ix) = fac*mu_vec( 2) + (1-fac)*mu_vec( 2);
end
%-------------------------------------------------------------------------% Setup numbering scheme---------------------------------------------------Number_ind = zeros(Nz, Nx); % Create the general numbering scheme
num = 1;
for ix=1:Nx
for iz=1:Nz
Number_ind(iz,ix) = num;
num = num+1;
end
end
num_eqns = num-1;
%-------------------------------------------------------------------------% Setup the stiffness matrix
A = sparse(num_eqns,num_eqns);Rhs_vec = zeros(num_eqns,1);
% Compute coefficients for mu*d4 Psi/dx4
ind_list = [];ind_val = [];
mu = mu_vec(1);
[ind_list,ind_val] = Add_coeffs(ind_list,ind_val, Number_ind(1:end,5:end ), mu*( 1/dx4));
[ind_list,ind_val] = Add_coeffs(ind_list,ind_val, Number_ind(1:end,4:end-1), mu*(-4/dx4));
[ind_list,ind_val] = Add_coeffs(ind_list,ind_val, Number_ind(1:end,3:end-2), mu*( 6/dx4));
[ind_list,ind_val] = Add_coeffs(ind_list,ind_val, Number_ind(1:end,2:end-3), mu*(-4/dx4));
[ind_list,ind_val] = Add_coeffs(ind_list,ind_val, Number_ind(1:end,1:end-4), mu*( 1/dx4));
% Compute coefficients for d4 Psi/dx2/dz2
% compute coefficients for ....
% Add local equations to global matrix
ii = 1;
for i=1:size(ind_list,2)
A = A + sparse([ii+1:ii+size(ind_list,1)].,ind_list(:,i),ind_val(:,i),num_eqns,num_eqns);
end
% set rhs
%Rhs_vec([ii+1:ii+size(ind_list,1)]) = Rhs_vec([ii+1:ii+size(ind_list,1)]) + rho(:)*g;
% Set boundary conditions
% Solve system of equations.

Figure 4.20: Code Streamfunction_Stokes.m that initializes the grid and node numbering for the
2D streamfunction approach.

function [ind_list,ind_val] = Add_coeffs(ind_list,ind_val,ind_add,val_add)% Add coefficients to an array

if (length(val_add(:))==1)
val_add =
ones(size(ind_add))*val_add;
end
ind_list
=
[ind_list, ind_add(:)];ind_val
=
[ind_val , val_add(:)];

Figure 4.21: MATLAB script Add_coeffs.m, used by Streamfunction_Stokes.m.

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CHAPTER 4. FINITE DIFFERENCES

4.12

Wave propagation

Figure 4.22: Finite difference discretization of the 2D acoustic problem.

We briefly discuss two examples for solving wave propagation type problems with
finite differences, the acoustic and the seismic problem.

4.12.1

Acoustic problem with standard grid

In an isotropically elastic medium, acoustic wave propagation, where we are only taking
care of a single type of wave, can be described by a set of two partial differential equations,
leading to an hyperbolic problem. Firstly, Newtons 2nd law,
1
2 u
= u = 2 p = b2 p
2

(4.149)

and, secondly, a constitutive law,

p = K u.

(4.150)

Here, u = {u x , uy , uz } are the three components of particle displacement, p is pressure, b is

buoyancy, which is the inverse of density, , and K is the bulk modulus, or compressibility.
Substituting eq. (4.150) for u into eq. (4.149), we can find
2 p
= K ( b p ).
t2

(4.151)

If we assume that density is constant, then

2 p
= v2 2 p,
t2
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(4.152)

CHAPTER 4. FINITE DIFFERENCES

where

v=

Kb =

denotes the bulk sound velocity. Simplifying to a 2D case, we have

 2

p 2 p
2 p
2
= v ( x, z)
+ 2 .
t2
x2
z

(4.153)

(4.154)

The equation for propogation of SH waves, the transverse components of S waves, in

seismology has a similar form as eq. (4.154):
 2

u 2 u
2 u
2
= vSH ( x, z)
+ 2 ,
(4.155)
t2
x2
z
where u is the displacement and VSH is the velocity of the SH component.
Likewise, a similar equation also applies for tsunami waves at long wavelengths, in
the shallow water approximation,
 2


2
2
2
= v ( x, z)
+ 2 .
(4.156)
t2
x2
z
Here, is the height of the tsunami wave, v is the velocity defined by the water depth H
as
p
(4.157)
v = gH.
To solve equations (4.154)-(4.156), with finite differences, we use the mesh shown in
n = P (ih, jh, nt ) and v
Fig. 4.22. Here, we have pi,j
i,j = v (ih, jh ). Applying the
2nd -order, second derivative formula to the acoustic wave equation eq. (4.154),
" n
#
n 1
n + p n +1
n + pn
n
n + pn
pi,j
2pi,j
pi1,j 2pi,j
pi,j
2pi,j
i
+
1,j

1
i,j
+
1
i,j
= v2i,j
+
.
t2
h2
h2

(4.158)

After rearranging, we have



n +1
n 1
n
n
n
pi,j
= pi,j
+ (2 4ai,j )2pi,j
+ ai,j pin1,j + pin+1,j + pi,j
+
p
1
i,j+1 ,
where

(4.159)

h2
.
(4.160)
t2
Then, the pressure or displacement at time step n + 1 can be derived explicitly from time
step n and n 1 as in eq. (4.159), though two solutions have to be stored.
Note that we use 2nd -order second derivatives in eq. (4.159). Two considerations are
required for choosing suitable time step t and spatial step h: grid dispersion and stability.
ai,j = v2i,j

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When waves propagate on a discrete grid, they produces an artificial variation of velocity with frequency, which is called grid dispersion. The higher frequency signals, with
slower velocity, are delayed relative to the lower frequency arrivals. This dispersion increases as h becomes larger. In other words, a small h is required to avoid grid dispersion.
To achieve an accurate solution, we need at least 12 points per wavelength for space
for a scheme with 2nd order accuracy. For a 4th order scheme, a minimum of 6.5 points per
wavelength are required. For a fixed frequency, this minimum wavelength is determined
by the minimum velocity (vmin ), so the accuracy of the system is governed by (vmin ).
Following a stability analysis, we can derive the stability requirement here as:
1 h
t
2 vmax

(4.161)

where vmax is the maximum velocity on the grid.

Exercise 1
Program the 2D acoustic wave propagation in standard grid scheme as in Fig. 4.22
(wave_acoustic_2D.m). Study the wavefield and seismograms with different choices
of t and h and demonstrate how t and h affect the stability and grid dispersion
in the program.
Introduce heterogeneities in the velocities, such as a thin layer with half velocity, and
describe the difference from the isotropic model, especially how this layer affects the
observed seismograms. Run the code with the velocity inside the thin layer being
zero and explain the result.

4.12.2

Elastic wave problem with staggered grid

For 2D elastic wave case (P-SV system), we have the equations as:

xx xz
2 u x
=
+
,
2
x
z
t

2 u z
xz zz
=
+
,
x
z
t2
u x
uz
xx = ( + 2)
+
,
x
z
uz
u x
zz = ( + 2)
+
,
z
x


u x uz
xz =
+
.
z
x

and

USC GEOL557: Modeling Earth Systems 106

(4.162)
(4.163)
(4.164)
(4.165)

(4.166)

CHAPTER 4. FINITE DIFFERENCES

Here, (u x , uz ) are the particle displacements. For seismic waves, they are typically called
radial and vertical components, respectively, if they are recorded at surface. Further, is
the stress tensor, and ( x, z) and ( x, z) the elastic, Lame coefficients ( is shear modulus).
uz
x
Typically, those equations are solved for particle velocities as u = u
t and v = t . Then,
the system is transformed into the frst-order hyperbolic system:


u
xx xz
=b
+
,
(4.167)
t
x
z


xz zz
v
=b
+
,
(4.168)
t
x
z
xx
u
v
= ( + 2) + ,
t
x
z
zz
v
u
= ( + 2) + ,
t
x
z


xz
u v
=
+
.
t
z
x

(4.169)
(4.170)
(4.171)

A typical seismic wave propagation problem needs to deal with medium with variable
Poissons ratio, , which can be defined as
=

.
2( + )

(4.172)

For the special case of = , = 0.25, and many rocks have Poissons ratios not far
from 1/4. For liquids, 0.5. For seismic wave propagation, this is particularly important when ocean water or the outer core of the Earth are needed to be considered in the
problem, which is hard to be resolved with the traditional set up of grid as in Fig. 4.22.
To satisfy both requirements for stability and grid dispersion at those problems, a PSV staggered-grid scheme is applied. Note the structure of the elastic wave problem,
eq. (4.167)-eq. (4.171), they allow the stress and particle velocity to be spatially interlaced
on the grids as in Fig. 4.23. The staggered-grid scheme allows the spatial derivative to be
computed to a much higher accuracy (e.g. Levander, 1988). (This computational aspect is
similar to the staggered grid finite difference approach to the Stokes problem, discussed
in sec. 4.10.)
To add the complexity, the stress and velocity field can also staggered in time. Follow
the explicit scheme, the second order difference equations for Equation (4.167)-(4.171) are:

t  k
k
i+1,j i,j
h

t  k
+ bi+1/2,j
i+1/2,j+1/2 ik+1/2,j1/2 ,
h

1/2
1/2
uik++1/2,j
= uik+1/2,j
+ bi+1/2,j

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CHAPTER 4. FINITE DIFFERENCES

Figure 4.23: 2D staggered finite difference grid for wave propagation.


t  k
i+1/2,j+1/2 ik1/2,j+1/2
h

t  k
k
+ bi,j+1/2
i,j+1 i,j
,
h

k+1/2
k1/2
vi,j
+1/2 = vi,j+1/2 + bi,j+1/2

k +1
i,j

k
i,j


t  k+1/2
k+1/2
u
ui1/2,j
+ ( + 2)i,j
h i+1/2,j

t  k+1/2
k+1/2
+ i,j
vi,j+1/2 vi,j
1/2 ,
h


t  k+1/2
k+1/2
k +1
k
i,j
vi,j+1/2 vi,j
= i,j
+ ( + 2)i,j
1/2
h


t
1/2
1/2
+ i,j
uik++1/2,j
vik+1/2,j
,
h

t  k+1/2
k+1/2
vi+1,j+1/2 vi,j
+1/2
h


t
1/2
k+1/2
+ i+1/2,j+1/2
uik++1/2,j

u
+1
i +1/2,j .
h

(4.174)

(4.175)

(4.176)

1
k
ik++1/2,j
+1/2 = i +1/2,j+1/2 + i +1/2,j+1/2

To time-evolve the solution for one full t, we follow:

1. update velocities from the stress;
2. update the stress from the velocities.
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(4.177)

CHAPTER 4. FINITE DIFFERENCES

For a homogeneous medium, the stability condition is
vP

t
1
< ,
h
2

where

s
vP =

+ 2

(4.178)

(4.179)

is the P-wave velocity. The stability condition is independent of the S-wave velocity
r

vS =
(4.180)

because information will propagate at the P wave speed.

To minimize the grid dispersion, the spatial sampling required at least 10 gridpoints
per wavelength, which is defined by the v P . For a 4th -order approach, the sampling rate
can be reduced to 5 gridpoints/wavelength (Levander, 1988).
Several other issues are also very important in wave propagation in practice:
1. If a boundary condition is not well implemented, the related reflected waves from
the boundaries of the domain will affect the results strongly. Depending on the
problem, different boundary conditions can be applied to the edges: free-surface
conditions, absorbing boundaries (Clayton and Engquist, 1977), and the recently widely
adopted Perfectly Matched Layer (PML) absorbing boundary (Collino and Tsogka,
2001).
2. The source excitation, which initializes the wave propagation, also has to be treated
with care. In general, a source can be implemented by simply adding a prescribed
source time function to the source mesh. For example, an explosion point source
time function S(t) can be added to the 2D elastic case as:
xx or zz (source grid) = xx or zz ( FD solution at source grid) + S(t)
Exercise 2
Program the 2D elastic wave propagation in staggered grid scheme as in Fig. 4.23
(wave_elastic_staggered_2D.m). Choose t and h and describe the wavefield
(both vertical and horizontal components) for the model with uniform velocities.
Identify the first P and SV arrivals on the recorded seismograms.
Include a thin liquid layer (vS = 0) in the model and explain the result. Note for a
typical wave propagation problem, the input models are v P , vS , and density , so
the conversions to and are required in the program.

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Chapter 5
Finite elements
5.1

Introduction to finite element methods

Reading:
Textbooks
The recommended background reading for this, finite element part of the textbook by Hughes (2000). This book is in wide use in mantle convection modeling
and aspects of the codes ConMan (King et al., 1990) and CitcomS (Moresi and Solomatov, 1995; Zhong et al., 2000) (both now maintained and developed by CIG,
geodynamics.org) follow the approach and notation of Hughes (2000) (see also
Zhong et al., 2007).
For additional reference, you might want to consider the Matlab-based finite
element course by Kwon and Bang (1996) and the comprehensive and high-level
treatment by Bathe (2007) and
Hughes (2000), chap. 1, secs. 1.1-1.15
Bathe (2007), sec. 1.2

5.1.1

Philosophy of the finite element (FE) method

Consider a boundary value problem (and many physical problems in solid mechanics can
be converted into a boundary value problem) given on a domain with a boundary
= such that a solution u( x) satisfies the PDE:
F (u( x)) = s( x)
where F is some differential operator and s a source term (Figure 5.1).
As boundary conditions, we can have
110

(5.1)

CHAPTER 5. FINITE ELEMENTS

Figure 5.1: Illustration of the finite element domain and boundary.

Dirichlet (fixed value, essential)

u| = g

(5.2)

type constraints where the value of u is given on , and/or

Neumann (flux, natural)
ni

u
= n u = h
xi

(5.3)

conditions, where we specify the derivatives at the boundary.

(If the PDE is, for example, an elastic deformation problem, then u would be displacements, and Dirichlet conditions of g = 0 correspond to no-slip, i.e. no deformation at
the boundaries. Likewise, h = 0 Neumann conditions would correspond to zero tractions
(the derivative of displacement times modulus are stresses).
The FE analysis then proceeds by two steps:
1. Converting the governing PDE from the regular, strong form (which we used for
FD) to the weak integral form (see below).
2. Discretizing the domain into elements on which an approximate, numerical
solution for u is to be obtained using simplified polynomials, so called shape functions or basis functions.
We will provide a highly abbreviated treatment, lacking any mathematical rigor. Moreover, we will omit the detailed discussion of different element types, or shape functions,
as well as implementation issues such as order of integration. Those issues are very important in practice, as choices in shape functions and element type may strongly affect
solution robustness and accuracy. However, we dont have time to delve into this (see,
e.g. Hughes, 2000). For a specific mantle convection code pertaining to the commonly used
ConMan and Citcom, see also Zhong et al. (2007).

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CHAPTER 5. FINITE ELEMENTS

To contrast finite elements with finite difference methods, we can summarize the main
differences and how they affect usage:
Finite Differences (FD)
Finite Elements (FE)
approximates the PDE
approximates the solution of the PDE
mainly restricted to simple,
complex geometries fairly easily implemented
rectangular domains
regional, or adaptive mesh
regional mesh refinement easy, adaptive
refinement hard to implement
refinement fairly straightforward
(problems with smoothing)
simple implementation
involved first implementation
special case of FE
requires programming from
for well-written existing code, only minor
scratch if solving new equations changes are needed to solve different equations

5.1.2

A one dimensional example

Consider
2 u
+s = 0
x2

(5.4)

on the domain [0; 1] where s is given. Eq. (5.4) could be a 1-D steady-state heat equation,
for example, where
2 T
H (x)
= 0.

(5.5)

Mathematically, we require s to be smooth for a solution for u to exist. Additionally,

we will require
u (0) = g

(Dirichlet)

(5.6)

(Neumann)

(5.7)

and
u(1)
=h
x

boundary conditions (BCs), which closes the system for a two point boundary value problem. This formulation of the PDE with all original derivatives in place is called the strong
form. Eqs. (5.4) and (5.6) can, of course, be solved analytically by integration.
For example, if s = x such that
2 u
+x =0
x2

USC GEOL557: Modeling Earth Systems 112

(5.8)

CHAPTER 5. FINITE ELEMENTS

then by integration
u 1 2
+ x + c1 = 0
x 2

(5.9)

1
u + x 3 + c1 x + c2 = 0
6

(5.10)

1
u ( x ) = x 3 c1 x c2
6

(5.11)

and integrating again

and use BCs (5.6) & (5.7)

u(1)
1
= c1 = h
x
2

u(0) = c2 = g;



1
1 3
x+g
u( x ) = x + h +
6
2

(5.12)

(5.13)

The analytical solution (5.13) will be used in the numerical problem set to test the approximate, numerical solutions. For more complicated, realistic problems, typically no
analytical solutions can be found (which is why we do numerical analysis in the first
place).
From the strong form, we will now move to a variation, or weak form. We require
that
(a) the trial solutions of u, among all possible solutions satisfy the essential BC
u (0) = g

(5.14)

and that the trial solutions are square integrable

Z 1  2
u
0

dx < ;

(5.15)

(b) the weighting functions, or variations, w, satisfy

w(0) = 0,
the homogeneous counterpart of eq. (5.14).
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(5.16)

CHAPTER 5. FINITE ELEMENTS

We can then write (sloppily):
2 u
+s = 0
x2

(5.17)

multiply by w and integrate

2 u
w 2
x

ws = 0

(5.18)

from the integration by parts rule

Z

Z 1
w u
0

With

u(1)
x

w
x x
x

1

a b = ab |

b0 a

w s = 0.

(5.19)
(5.20)

= h and w(0) = 0, this can be written as

Z 1
w u
0

x x

= h w (1) +

Z 1
0

w s dx

(5.21)

This is the weak form of the PDE. Equations of this type in mechanics are called virtual work, or virtual displacement formulations (the w are the virtual displacements).
It can be shown that the weak and the strong form are identical (Hughes (2000), sec. 1.4)
and the FE method proceeds from eq. (5.21) by assuming u and w can be taken from a
simplified functional space, typically based on low order polynomials.
It is useful to define a shorthand notation
a(w, u) =

Z 1
w u
0

x x

dx

and

(w, s) =

Z 1
0

w s dx

(5.22)

Then, we can write eq. (5.21) as

a(w, u) = (w, s) + h w(1)

(5.23)

(w, s) = (s, w)

(5.24)

(c1 u + c2 v, w) = c1 (u, w) + c2 (v, w)

(5.25)

a(., .) and (., .) are symmetric

and bilinear

forms.
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CHAPTER 5. FINITE ELEMENTS

5.1.3

Galerkin method

If we consider a finite dimensional approximation of u and w on a FE mesh, u and w from

a function space U and W , where u U , w W such that
u (0) = g

and

w (0) = 0,

(5.26)

then we can construct a solution with v W

u = v + g

(5.27)

where g is a given function such that g (0) = g, which satisfies the BCs because
u (0) = v (0) + g (0) = 0 + g

(5.28)

as v (0) = 0, since v W . If we substitute eq. (5.27) into eq. (5.23), we get

v ) = (w,
s) + w (1)h a(w,
g )
a(w,

(5.29)

where we solve for the LHS and the RHS is determined by BCs.
This is an example of a weighted residual method, there are other approaches such as the
Petrov-Galerkin method. The Galerkin method is the simplest because it assumes that v
and w are from the same function space, i.e. the same shape functions (see below) are used for
the solution u and the weights w .

5.1.4

Shape functions and discretization

Lets assume that there are n nodes such that we can write the weighting functions as
n

w ( x ) =

c A NA ( x )

(5.30)

A =1

where the NA ( x ) are called shape, basis, or interpolation functions. We require

NA (0 ) = 0

(5.31)

such that w (0) = 0 can be fulfilled. If we also introduce a shape function

N1 (0) = 1

(with N1
/ W)

(5.32)

g = g N1

so that g (0) = g.

(5.33)

then

We can then write

u = v + g
n

d A NA + g N1

A =2

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(5.34)

CHAPTER 5. FINITE ELEMENTS

such that u (0) = g. If we substitute eqs. (5.30) and (5.34) into eq. (5.29), then
!
! "
#
a

c A NA , db NB
A

c A NA , s

c A NA (1 )

ha

c A NA , g N1

!
.

(5.35)
Because of bilinearity, we can write A c A G A = 0 with
GA =

a( NA , NB ) dB ( NA , s) NA (1) h + a( NA , N1 ) g.

(5.36)

The Galerkin equation (5.29) is supposed to hold for all w, therefore all c A , which means
that a A = 0. So, for all A

a( NA , NB ) dB = ( NA , s) + NA (1) h a ( NA , N1 ) g.

(5.37)

If we write K AB = a( NA , NB ) and FA = ( NA , s) + NA (1) h a ( NA , N1 ) g, then eq. (5.37)

becomes
Kd = F

(5.38)

where K is the stiffness matrix , d is the displacement vector , and F is the force, or load, vector.
Once the Kd = F system is assembled, one may solve for d and then obtain the spatial
solution from
n

u ( x ) =

d A NA ( x ) + g N1 ( x )

(5.39)

A =2
n

u ( x ) =

d A NA ( x )

with d1 = g.

(5.40)

K = K AB = a( NA , NB )
= a( NB , NA ) = K BA = K T ,

(5.41)
(5.42)

or

Note that K is symmetric,

which facilitates computations, because special numerical solvers can be used depending
on the matrix properties of K. Also, see sec. 5.4 for the solution of large, sparse, linear
systems of equations such as eq. (5.38).

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5.2

A 1-D FE example implementation

We now provide a numerical implementation of the previously discussed 1-D FE example. We subdivide the [0; 1] interval into n sub-intervals (elements) delimited by n + 1
nodes or nodal points such that x1 = 0 and xn+1 = 1. The sub-intervals are denoted by

[ x A ; x A+1 ] with h A = x A+1 x A

(5.43)

where the element size h A may vary, and a general grid spacing may be defined as h =
max (h A ).
We can then choose interior shape functions for 2 A n as

x A 1 x x A ,

h A1 ( x x A1 ) for

1
(5.44)
NA ( x ) =
for x A x x A+1 ,
h A ( x A +1 x )

0
otherwise.
For the boundaries, we use special shape functions
1
N1 ( x ) =
( x2 x )
h1
n +1 ( x ) = 1 ( x x n )
N
hn

for x1 x xn+1
for xn x xn+1 .

and

(5.45)
(5.46)

An illustration of interior and boundary shape functions is shown in Figure 5.2; note that
NA = 1 at x = x A and zero for other nodes.

Figure 5.2: Example of 1-D shape functions

With this choice, the shape functions are zero outside the vicinity of A. They have local
support, which means that K is a sparse matrix because the
a( NB , NA ) =

Z 1
NA NB
0

dx

(5.47)

integral is zero for B > A + 1. The K matrix is banded, banded matrix and the bandwidth
depends on how the nodes are numbered (leading to an optimization problem during
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mesh design) and what basis functions are used. Besides symmetry and bandedness, K
is also positive definite, which means that
cT K c 0

(5.48)

for all c such that c T K c = 0 c = 0. These properties allow efficient solution of

K d = F (sec. 5.4).

5.2.1

Local vs. global points of view

It is useful to compare the (., .) and a(., .) operations in local coordinate systems that are
referenced to each element as is shown below in Figure 5.3.

Figure 5.3: Example of 1-D shape functions in global (left, N ( X )) and element-local (right, N ( ).
with [1; 1]) coordinates.

The mappings are as follows:

x ( ) =

1
( h A + x A + x A +1 )
2
u ( x ) = d A NA ( x )

1
(2x x A x A+1 )
hA
u( ) = N1 ( ) d1 + N2 ( ) d2 .

(x) =

(5.49)
(5.50)

We can express the global shape function NA of eq. (5.44) in a local coordinate system as
Na ( ) =

(i.e. N1 ( ) =

1
(1 );
2

1
(1 + a )
2
N2 ( ) =

for a = 1, 2

1
(1 + )
2

with [1; 1]).

(5.51)

(5.52)

Likewise, we can express the global coordinate within the element as

x e ( ) =

Na ( ) xea

a =1

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(5.53)

CHAPTER 5. FINITE ELEMENTS

where x ea are the global nodes that belong to the element e. For the assembly of the stiffness matrix, derivatives of Na and x e with respect to are required. We note that
Na
a
(1) a
=
=
,

2
2

(5.54)

x
he
= ,

(5.55)

and

=
x

x e

 1

Note 1: For higher dimensional problems, the term

2
.
he


x e

(5.56)
 1

will be a matrix inverse.

Note 2: The choice of shape function is determined by the type of element. E.g. with a
two node element, shape functions can only be linear. If the solution to be approximated is u, then u will vary linearly over the element, and derivatives, x u, will be
constant.

5.2.2

Matrix assembly

With n elements, we therefore have globally

an n n matrix and

K = [K AB ]

F = { FA }

an n 1 vector

(5.57)

where (from last section)

K AB = a( NA , NB ) =

Z 1
NA NB

dx
x x
FA = ( NA , s) + h A,n+1 a( NA , N1 ) g

Z 1
0

(5.58)

NA s dx + A,n+1 h g

(5.59)

Z 1
NA N1
0

dx

(5.60)

where NA ( xn+1 ) = A,n+1 is assumed, and ij is the Kronecker , ii = 1 and ij = 0 for

i 6= j.
The integrals over the problem domain [0; 1] can be written as summations over elements, therefore
n

K=

Ke

with K e = [K eAB ]

(5.61)

e =1

(5.62)
F=

with

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F =

{ FAe }

(5.63)

CHAPTER 5. FINITE ELEMENTS

K eAB =

FAe

de

NA NB
dx
x x

(5.64)

NA s dx + h e,n A,n+1 g

Z
e

NA N1
dx
x x

(5.65)

where the element domain e = [ x1e ; x2e ].

Since the NA only have local support K eAB = 0 if A 6= {e or e + 1} or B 6= {e or e + 1},
and FAe = 0 if A 6= {e or e + 1}, and we can obtain the global stiffness matrix and force
vector by summing up elemental contributions K e and f e
K e = [Kab ] a 2 2 matrix,

f e = { f a } a 2 1 vector

(5.66)

(2 is the number of nodes per element!)

e

Kab = a( Na , Nb ) =

Z
e

Na Nb
dx
x x

(5.67)
(5.68)

fa =

Z
e

e g
Ka,1
Na s dx +
0

a,n+1 h

for
for
for

e = 1,
e = 2, . . . , n 1,
e = h.

(5.69)

Figure 5.4: Cartoon of stiffness matrix assembly process

The assembly proceeds as symbolized in Figure 5.4, and placing the K e element-local
matrix into the global stiffness matrix requires use of an assignment operator or array.
This is discussed in the worked example of the problem set.
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5.2.3

Element-local computations

We wish to perform integrations in a local coordinate system. If the original interval

x [ x1 ; x2 ] is smoothly mapped into [ 1 ; 2 ], there exists a change of variables such that
Z x2
x1

dx f ( x ) =

Z ( x2 )
( x1 )

x ( )
] f ( x ( )) =
d [

Z 2

x
f ( ).

(5.70)

Therefore, we can compute

Na ( x ) Nb ( x )
dx
x
x
e
Z 1
Na ( x ( )) Nb ( x ( )) x ( )
d
=
x
x

e
Kab
=

(5.71)

using a change of variables. Then, using the the chain rule,

f ( x ( ))
f ( x ( )) x ( )
=
,

(5.72)

we can get
Na ( x ( )) x ( )
Na ( x ( ))
=

Na ( x )
=
x

 1

Na ( )
.

Then, plugging the result back into eq. (5.71)

Z 1   2
x
Na ( ) Nb ( ) x ( )
e
d
Kab =

1
Z 1   1
x
Na ( ) Nb ( )
=
d

1
1
= e (1) a+b (eq. 5.54)
h

(5.73)

(5.74)
(5.75)
(5.76)
(5.77)

Ke =
Since

Na

1
1 1
1
h e 1


.

(5.78)

is independent of element data, the computation only has to be performed once,

independent of the actual nodal values for the solution. The derivatives x
and x do,
however, depend on the element shape and need to be computed for each geometric
(mesh) configuration.
For the source term, we use the approximation
2

s =

sa Na

a =1

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(5.79)

CHAPTER 5. FINITE ELEMENTS

i.e. the source term is assumed to vary linearly across the element with Na . Then, we can
write
Z
e

Na ( x ) s( x ) dx =

=
Since

R1

Z 1

Na ( x ( )) s( x ( ))

1
Z 1
he 2

b =1 1

x ( )
d

(5.80)

Na ( ) Nb ( ) d sb .

(5.81)

boundary terms

(5.82)

Na Nb = 13 (1 + ab ),
he
s =
6

he
6

2 1
1 2

 
s1
s2

(5.83)

5.3

2 s1 + s2
s1 + 2 s2

boundary terms

(5.84)

Exercise: 1-D heat conduction with finite elements

Reading
This finite element example is based on Hughes (2000), sec. 1.1-1.15.

5.3.1

Implementation of the 1-D heat equation example

In the previous two sections, we considered the example PDE

2 u
+s = 0
x2

(5.85)

on the domain x [0; 1], u( x ), s( x ), and subject to essential (Dirichlet) boundary condiu(1)
tion u(0) = g on the left, and natural (Neumann) BCs, x = h on the right. Equation
(5.85) may be considered a general version of the steady-state heat equation
2 T
+H=0
x2

(5.86)

with sources s = H, for example.

See sec. 5.2, but in brief: If we have n elements between n + 1 global nodes, the weak
form of eq. (5.85) can be written for each global node A as

a( NA , NB )dB = ( NA , s) + NA (1)h a( NA , N 1 ) g.
B

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(5.87)

CHAPTER 5. FINITE ELEMENTS

1 the
Here, NA are the shape functions in the interior, B is another global node, and N
boundary shape function for the essential boundary condition g. This can be further
abbreviated by
K AB = a( NA , NB ) =
FA

Z 1
NA NB

dx
x x
= ( NA , s) + NA (1)h a( NA , N 1 ) g

Z 1
Z 1
1
NA N
dx g,
=
NA sdx + A,n+1 h
x x
0
0
0

(5.88)
(5.89)
(5.90)

where we have used the definitions of the bi-linear forms a(, ) and (, ) from before, and
the Kronecker delta
(
1 if i = j
i,j =
(5.91)
0 else
is used for the flux boundary condition (also see Hughes, 2000, chap 1). Note that it is
sometimes helpful to not think about nodes but about elements. The weak form of the
equations are satisfied on average per element, and by constructing an appropriate mapping/numbering we can easily go from a single element to a 1D or 2D domain.
The approximate solution of u after discretization of the weak form is given by
n +1

u ( x ) =

1g =
d A NA ( x ) + N

A =2

d A NA ( x ),

(5.92)

where the latter summation implies choosing the boundary shape function and BC if
needed. The vector d = {d A } values have to be obtained by solution of the matrix equation
Kd = F,
(5.93)
with K = {K AB } and F = { FA }.
We discussed previously how the integration over the domain can be broken down
into summation over integrals over each element (see sec. 3.2). This integration is most
easily performed in a local coordinate system 1 1 between the two nodes of each
element, which has a mapping to the corresponding, global coordinate interval [ x A ; x A+1 ].
We can also express the shape functions as x ( ),
x ( ) =

NA ( ) x A

and

u( ) =

NA ( ) d A .

(5.94)

The global K matrix and the F vector are then assembled by looping over all elements
1 e n and adding each elements contribution for shared nodes. By change of integration variables and the chain rule, those elemental contributions follow as


1
1 1
e
,
(5.95)
k =
1
x 1
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where x is the element size, x A+1 x A , and for the force term
x
fe =
6

2s1 + s2
s1 + 2s2

( k g
for e = 1
a1
+ a,n+1 for e = n
0
else

(5.96)

where we have assumed that the source function s varies linearly over each element, and
s1 and s2 are the contributions from each local node a within the element from s( x ). After
assembly, one needs to ensure that each row of the global K matrix that corresponds to a
fixed value (Dirichlet) boundary condition, will only have a diagonal entry and the other
columns for this row are zero.

5.3.2

Exercises

(a) Download heat1dfe.m, and all helper routines for this section. Read through the
implementation of what is summarized above, heat1dfe.m, and understand this
code.
(b) Fill in the blanks in heat1dfe.m and experiment with a solution of eq. (5.85) for
n = 3 elements.
(a) Print out the stiffness matrix (full(stiffness)) to appreciate its banded structure. Does this look familiar to you?
(b) Choose the Matlab solver (solver=0) and plot the finite element solution at the
nodes, as interpolated within the elements, and compare with the analytical
solution.
(c) Reads the following section on solving linear systems of equations, if you have
time, and work on the examples (optional).

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5.4

Solution of large, sparse linear systems of equations

Parts of this exercise are based on Zhong (2008).

The finite element method and implicit finite difference methods quickly leads to very
large, linear systems of equations
Kd = F
(5.97)
whose solution can be quite involved. Ideally, we would hand off the solution of eq. (5.97)
to a computational scientist and use a black box solver. However, practice shows that
the nature of the physical problem and the best solution method are often intertwined.
Choosing a different solver might also allow addressing larger, e.g. 3-D, problems because of improved efficiency. Moreover, it is very hard to make solvers bullet-proof and
one often encounters problematic (e.g. unstable, or no convergence) performance in practice.
Linear systems of equations also arise in other fields of geophysics, such as inverse
theory, and some exposure to computational linear algebra is needed to fully understand
the MILAMIN (Dabrowski et al., 2008) finite element implementation which we will use later.
We therefore digress a bit here. If your research has you deal with matrices a lot, Golub
and Van Loan (1996) is a classic numerical linear algebra text that might come in handy.

5.4.1

Direct solvers

For the finite element method, we can always write our problem in the form of eq. (5.97),
where K is a square, n n matrix. A general strategy to solve eq. (5.97) is then LU decomposition
K = LU,
(5.98)
where L and U are lower and upper triangular matrices, respectively, which only have
zeros in the other part of the matrix. The solution of eq. (5.97) can then be obtained
efficiently from
Kd = LUd = F
(5.99)
by solving for y = L1 F and then d = U1 y, because the inverse of U and L are computationally fast to obtain. LU is often how general matrix inversion is implemented on a
computer.
For most FE problems, the K matrix will also be sparse and banded. Special algorithms
exist to exploit this feature such that the run time is ideally dominated by the number of
non-zero entries of K, rather than the full size. Moreover, if K is symmetric and positive
definite, as in our example above, we can use the Cholesky decomposition for which
U = LT and computations are twice as fast as for the general LU case. However, for
complex, 3-D FE problems, current computational limitations often prohibit the use of
direct solvers which is why iterative methods which do not require matrix decomposition
or inversion, are used.

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Notes:
Symmetry means K = KT , where KT is the transpose, KijT = K ji .
Positive definite means that c T Kc > 0 for any non-zero c. Graphically, this corresponds for a 2 2 matrix to a well defined minimum (lowest) point in a curved
landscape, which is important for iterative methods (e.g. Shewchuk, 1994).
Positive definite, symmetric matrices also arise in least-squares problems in geophysical inversions (e.g. seismic tomography, see for example Boschi and Dziewonski,

1999, for a nice introduction to linear algebra in this framework).

Least-squares means that we wish to solve
Ax = b

(5.100)

in the sense that |Ax b| = min, i.e. deviations from the true solution are minimized,
for a matrix A that may be under-determined, i.e. not simply invertible. It can be
shown that the general least squares solution x LS is given by


x LS = A A

 1

AT d,

(5.101)

1
where AT A
is the generalized inverse (which exists even if the inverse of A,

1
A , does not exist because A is singular). AT A is symmetric and positive definite,
meaning that Cholesky is also the method of choice for direct approaches to find
x LS .

5.4.2

Iterative solvers

Jacobi method
The simplest iterative solution of eq. (5.97) is given by the Jacobi method. If K is LU
decomposed and we write the diagonal matrix (only non-zero along diagonal) of K as D,
then an iterative solution for d starting from an initial guess d1 (e.g. 0) can be obtained
from
Ddi+1 = F (U + L)di ,
(5.102)
where the iteration is over i and is stopped once di+1 is not changing more than some
tolerance from the previous solution estimate di . On an element by element basis, this
can be written as
!
n
1
dij+1 =
Fj K jl dil
(5.103)
K jj
l =1, l 6= j
where the summation is over all l but for l = j. The Jacobi method following eq. (5.103)
is implemented in jacobi.m. It serves mainly illustrative purposes but is guaranteed
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to converge, albeit slowly (see below), if K is diagonally dominant which is satisfied
strictly when the absolute value of the diagonal elements is larger than the sum of the
absolute values of each row.
Gauss-Seidel method
An improvement over the Jacobi method is the Gauss-Seidel (GS) approach, where the
iterative rule is
(D + K)di+1 = F Udi .
(5.104)
The main benefit is that di+1 can be computed from di directly, without having to store a
full previous solution, following
!
1
Fj K jl dil+1 K jl dil .
(5.105)
dij+1 =
K jj
l<j
l>j
Note that this operation can be done in place, and is implemented in gauss seidel.m.
The GS method will converge (somewhat faster than the Jacobi method) for diagonally
dominant, or positive definite and symmetric K.
Successive Over Relaxation (SOR)
Successive Over Relaxation is a more general variant of the Gauss-Seidel method that can
lead to faster convergence. This is obtained by adding a parameter w which determines
the weight of the current solution in the weighted average used to compute the next
solution.
!
w
Fj K jl dil+1 K jl dil
(5.106)
dij+1 = (1 w) dij +
K jj
l<j
l>j
Setting w = 1 will reduce SOR to the GS method. The optimal value of w is dependent
upon the matrix K, but setting w = 0.5 is a good starting point. The method has been
rigorously shown to converge for symmetric, positive definite matrices K for 0 < w < 2.
Exercise 1
Plot the Jacobi, GS, and SOR solutions for 32 elements and a tolerance of 104 , 105 ,
and 106 on one plot each; comment on the accuracy and number of iterations required. Can you improve the definition of tolerance for the Jacobi method?
Choose a tolerance of 106 , and record the number of iterations required to solve the
1-D FE example problem using the Jacobi and GS methods for increasing number of
elements, e.g. for 8, 16, 32, 64, and 128 elements. (You might want to automate these
computations and not wait until convergence and record the results by hand.)
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Plot the number of iterations against number of elements for both methods.
Comment on the scaling of iteration numbers with size.
Conjugate gradient
You have now seen that while the Gauss-Seidel (GS) method is an improvement on the
Jacobi approach, it still requires a large number of iterations to converge. This makes
both methods impractical in real applications and other approaches are commonly used.
One of those is the conjugate gradient (CG) method which works for positive-definite,
symmetric, square (n n) matrices. The CG method is explained in a nice, geometric
fashion by Shewchuk (1994). We cannot explore the motivation behind CGs in detail, but
conjgrad.m provides a pretty straightforward Matlab implementation which you should
check out.
The CG method provides an exact solution after n iterations, which is often a prohibitively large number for real systems, and approximate solutions may sometimes be
reached for a significantly smaller number of iterations. There are numerous tweaks involving modifications to the conjugate gradient method that pertain to pre-conditioners
where we solve
M1 Kd = M1 F,
(5.107)
for some M which approximates K but is simpler to handle than K. The best choice of these
is, for some applications, an active area of research. For sparse least-squares problems,
such as for seismic tomography, the LSQR approach of Paige and Saunders (1982) is a
popular choice that is used by most researchers at present for linear inversions.
Exercise 2
Switch the solver from the GS method to conjugate gradient and increase the maximum iteration number stepwise from a fraction of n to the full n (as determined
by the number of elements which you should choose large, e.g. 200, for this exercise). Test different initial guesses for di (e.g. all zero, random numbers), record the
convergence and comment on the solution.
Multigrid method
An interesting philosophy to solving PDEs of the type we are considering for the 1-D finite element example is by using several layers of variable resolution grids (e.g. Press et al.,
1993, sec. 19.6). The insight is based on the observation that the Gauss-Seidel method is
very good at reducing short-wavelength residuals in the iterative solution for d (smoothing), but it takes a long time to reduce the largest wavelength components of the residual.
(You should try to plot successive solutions of the GS method compared to the analytical
solution for different starting d0 to visualize this behavior.)

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For the multigrid (MG) method, the idea is to solve the equations to within the desired tolerance only at a very coarse spatial discretization, where only a few iterations
are required. Then, the solution is interpolated up to finer and finer levels where only
a few GS iterations are performed at each level to smooth the solution. One then cycles
back and forth until convergence is achieved at the finest, true solution level. There are
several different approaches that are all called multigrid methods and basically only
share the same philosophy. Differences are, for example found in terms of the way the
cycling between fine and coarse resolutions are conducted (e.g. Briggs et al., 2000), and
we will only discuss the V cycle method. Multigrid methods are now implemented in
most 3-D finite element methods (Zhong et al., 2007) because MG has, ideally, the perfect
scaling of O( N ) where N is the size of the problem. MG methods areas of active research
(e.g. algebraic multigrid, which is related to adaptive mesh refinement).
The multigrid method is based on expressing the PDE on L MG levels of resolution
where the number of nodes in each level, ni , is given by
n i = b 2i 1 + 1

for

i = 1, 2, . . . , L,

(5.108)

where b is the base, typically a small number such as 2 or 4. At each ith level, we need
to construct separate stiffness matrices, Ki , and the corresponding force vector where the
resolution for the i = L solution is the best approximation to Kd = F, and the forcing is
only needed to be specified at FL (see below).
An example implementation may proceed like so (see, e.g. Press et al., 1993, sec. 19.6 for
some alternatives): We start at the highest level, L, and perform only a few, fixed number
of GS iterations for an rough approximate d L from
K L d L = FL

(5.109)

to remove the short wavelength misfit starting from an initial guess d L = 0. The residual
is then given by
R L = FL Kd L .
(5.110)
We then project, or restrict, the residual to a coarser grid at L 1 by a projection operator
P
R L1 = PL L1 R L .
(5.111)
P will be some stencil giving more weight to the fine resolution nodes that are closer to
the coarse resolution node to which we project. We next GS iterate
Ki di = Ri

(5.112)

for i = L 1 for another small number of iterations (initializing di again with 0), performing another smoothing step, reducing short wavelength fluctuations. Note that
eq. (5.112) now operates on the residual and not the load vector F such that we are computing corrections of d, d. We then repeat the smoothing and projection steps down to
i = 1 where eq. (5.112) can be solved quickly and exactly. This completes the downward
leg of the V cycle where the longest wavelength residual has been addressed.
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Next, we have to propagate the correction d1 from i = 1 to i = 2 and higher resolutions by means of a prolongation, i.e. an interpolation to higher resolution by an
interpolation operator I
di+1 = Iii+1 di .
(5.113)
I may be a linear interpolation, for example, which is easy to compute for the mesh structure eq. (5.108). This upward interpolated di+1 can then be smoothed by using it as a
starting guess for a fixed number of GS iterations for
Ki+1 di+1 = Ri+1

(5.114)

di+1 = di+1 di+1

Ri+1 = Ri+1 Ri+ 1,

(5.115)
(5.116)
(5.117)

with di+1 . We can now correct

with Ri+1 = Ki+1 di+1 and weighting = (Ri+1 Ri+1 )/|Ri+1 |2 . We continue by
projecting di in this fashion up to i = L, where we update d L = d L + d L , which completes the upward leg of the V. The whole V cycle is then repeated until the desired tolerance for d L is reached at which point d L = d. Details of the implementations of the MG
method, such as the smoothing, restriction, and prolongation operations, depend on the
problem and the boundary conditions (e.g. Press et al., 1993; Briggs et al., 2000).
Exercise 3
Download the MG implementation of the 1-D FE example (based on C code by
Zhong, 2008), multigrid.m. Read through the implementation, compare with the
above recipe, and understand the approach.
Compare the number of iterations needed for the MG solver with that of the GS
method for 32, 64, 128, 256 numbers of elements.
Plot the scaling of the number of iterations, or time spent in the multigrid subroutine, with the number of elements.

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CHAPTER 5. FINITE ELEMENTS

Temperature
1

0.9

0.9

0.8

0.8

0.7

0.7

0.6

0.6

0.5

0.5

0.4

0.4

0.3

0.3

0.2

0.2

0.1

0.1

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

Figure 5.5: Coarse finite element mesh with solution for temperature, allowing for an elliptical
inclusion and a boundary at mid-model height.

5.5

Two-Dimensional boundary value problems with FE

Reading: Hughes (2000) secs. 2.1 - 2.6, 3.1, 3.4, 3.8 - 3.9
We will now consider the solution of 2D boundary value problems using
finiteele 

x
x1
ments, which can be easily expanded to three dimensions. We write x =
=
x2
z
for a location vector xi with i = 1, 2 and a normal vector n on the boundary of the domain . As an example problem we will now revisit the linear heat conduction problem.

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Figure 5.6: Visual representation of domain, vector, and normal

5.5.1

Linear heat conduction

If we allow for anisotropic diffusivity (which may apply to the oceanic plates), Ficks Law
can be written as
qi = ij

2
T
T
= ij
x j
x j
j =1

(5.118)

where repeated indices imply summation, q is heat flux, ij = ji is the conductivity

matrix (we use k normally for diffusivity but we wish to distinguish it from the stiffness
matrix), and T is temperature. In vector notation,
q = T

= [ij ]

(5.119)

and, usually, for the isotropic case

ij = ( x)ij

(5.120)

is assumed. In steady-state, the energy equation is

q = H

or

ij T
qi
=
=H
xi
xi x j

(5.121)

for

(Poisson Eq.)

with BCs:
T=g
qi ni = h
USC GEOL557: Modeling Earth Systems 132

on g
on h

and
(5.122)

CHAPTER 5. FINITE ELEMENTS

where g and h are the parts of the boundary where fixed temperature or fixed flux
conditions apply, respectively. For isotropy, we recover
T

T
ij
=
=H
xi
x j
xi xi

 2
T 2 T
+ 2 =H.
conductivity
x2
z

(5.123)
(5.124)

The weak form representation (first substitute the test function and integrate over the
domain, second integrate by parts) of eq. (5.122) is given by

w
q =
xi i

d wH +

d wh

(5.125)

where the LHS is the diffusion term, the first term on the RHS corresponds to volumetric
heating, and the second term on the RHS is the flux through the boundary. See Hughes
(2000), sec. 2.3 for the derivation. Eq. (5.125) can then be expressed as
a(w, T ) = (w, H ) + (w, h)

(5.126)

with
a(w, T ) =

(w, H ) =
(w, h) =

w
T
ij
xi
x j

d wH

(area integral over )

d wh.

(line integral over )

It is convenient to use vector/matrix notation

w
g
ij
T
xi
x j

(5.127)

can then be written as

(w)T T

with

w
x1
w
x2

w =

!
and

T =

T
x1
T
x2

!
(5.128)

such that
a(w, T ) =

d (w) T T

1 0
with =
0 1


for isotropy in 2-D.

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(5.129)

CHAPTER 5. FINITE ELEMENTS

Using the Galerkin approach of choosing the trial and weighting functions from the same
function space, we again posit for the solution
T = v + g

(5.130)

where v = 0 on g and g allows satisfying the Dirichlet BCs with T = g on g .

The weak form becomes
v ) = (w,
H ) + (w,
h) h a(w,
g )
a(w,

(5.131)

(compare to previous 1D case, eq. 5.29).

Lets introduce the shape functions NA for a global node A out of nnp total number of
nodes. With
v ( x) =

NA ( x ) d A

and

g ( x) =

AI

A ( x) g A
N

(5.132)

AB

where we have again distinguished between interior nodes and shape functionm A
I , and those on the Dirichlet boundary, with A B . Arguing as for the 1-D case, the
following assembly rules result
Kd=F


K = K PQ

(5.133)

K PQ = a( NA , NB ),

(5.134)

where 1 P, Q neq and the number of free equations is given by the total number of
nodes minus the number of nodes on the Dirichlet boundary B .
P and Q can be computed from a 1D array that maps a global node A into a global equation number

P for A I
ID ( A) =
(5.135)
0 for A B
such that P = ID ( A) and Q = ID ( B). d = {dQ } for the solution temperatures
v ( x) =

NA d A

(5.136)

and
F = { Fp }

(5.137)

where
FP = ( NA , H ) + ( NA , h) h

BB

and K is again symmetric and positive definite.

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a( NA , NB ) q B

(5.138)

CHAPTER 5. FINITE ELEMENTS

5.5.2

Matrix assembly

As before, we compute K and F based on summation over all nel elements.

nel

K=

Ke

e
K e = {K PQ
}

(5.139)

( NA )T ( NB ) d .

(5.140)

e =1
e
K PQ

= a( NA , NB ) =

Z
e

The RHS in eq. (5.140) corresponds to integrating over each elements area.
nel

Fe

F=

F e = { FPe }

(5.141)

e =1

FPe

Z
e

d NA H +

Z
he

d NA h

a( NA , NB )e q B

(5.142)

BB

where he is the part of the Neumann (flux) boundary within element e, and P = ID ( A), Q =
ID ( B). Within each element we compute for new nodes per element with 1 a, b nen
e

K =

e
}
{Kab

e
Kab

= a( Na , Nb ) =

Z
e

d ( Na ) T ( Nb )

f e = [ f ae ]
fa =

Z
e

(5.143)
(5.144)

Na f a d +

nen

Z
he

Na h d

Kabe gbe

(5.145)

b =1

where gbe = g( xeb ) for prescribed g and zero otherwise. It is convenient to write
e

K =

Z
e

d B T D B

(5.146)

where D is nsd nsd (rows columns); nsd , number of spatial dimensions. In our case
D is 2 2 and D = . B is nsd nen such that B = { B1 , B2 , . . . , Bnen } and
Ba = Na

(5.147)

is nsd 1.
The B and D matrices general meaning is that of a gradient operator and that of a material parameter matrix at an element level, respectively. For example, if the temperatures
at an element level are given by

d1e
de
2
de = {dea } = ..
(5.148)
.
denen
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CHAPTER 5. FINITE ELEMENTS

then
q ( x ) = D ( x ) B ( x ) d e = D ( x )

nen

Ba dea

(5.149)

a =1

can be used to compute the heat flux within each element. We will revisit this for the
elastic problem where B converts the nodal displacement solution into the strain.

5.5.3

Isoparametric elements

It is convenient to use elements where the shape functions that are used to map from a
local coordinate system, for example for a four node quad (1 a nen = 4) spanned by
the local coordinates
 
 
1
1
1 =
2 =
(5.150)
1
1
 
 
1
1
3 =
4 =
,
(5.151)
1
1

Figure 5.7: Quad element in element-local (, ) coordinate space

to the total global domain where the element may be deformed

nen

x( ) =

Na ( ) xea

(5.152)

a =1

are the same shape functions that are used to represent the solutions
nen

v ( ) =

Na ( ) dea .

a =1

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(5.153)

CHAPTER 5. FINITE ELEMENTS

Figure 5.8: Quad element in global ( x, z) coordinate space

If the mapping from the element local, , to real coordinate space, x, is differentiable, the
determinant j of the Jacobian J
!
x x
x z
z x

(5.154)
j = det J = det
z z


is j( ) > 0 for all within the element. j( ) may, in practice, become very small, which indicates that the element is greatly deformed (two edges almost align, for example) which
is to be avoided.
The practical use of j arises from element-local integration. Recall from the 1-D case
(eq. 5.70)
Z
e

f ( x ) d =

Z 1
1

Z 1

x
d

(5.155)

d f ( x (, ), z(, )) j(, ).

(5.156)

f ( x ( )) d

x
=

f ( x ( ))

which generalizes to 2-D as

Z
e

f ( x) d =

Z 1
1

Z 1
1

The above equation is a result of the change of variables and can be used to evaluate the
a(., .) type integrals.

5.5.4

Numerical integration

While the integral over simple shape functions (and for non-deformed quadrilaterals)
may be easily evaluated analytically, it is most convenient to perform a numerical integration over the element area or volume e . Also, if the element is deformed, one must
perform numerical integration.
In 1-D, the objective is to optimally approximate (i.e. replace the integral over the element
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CHAPTER 5. FINITE ELEMENTS

with a summation)
nint

Z 1
1

d g( )

g(i ) Wi

(5.157)

i =1

for a small number of integration points nint . The Wi are the weights for the function
values at the integration points i . For example, the
Trapezoidal rule corresponds to nint = 2; 1 = 1; 2 = 1; Wi = 1 and is second order
accurate.
Z b
a

f ( x ) dx (b a)

f ( a) + f (b)
2

(5.158)

Simpsons rule corresponds to nint = 3; 1 = 1; 2 = 0; 3 = 1; W1 = 13 ; W2 =

1
4
3 ; W3 = 3 and is fourth order accurate (i.e. Simpsons rule integrates a cubic polynomial exactly).




Z b
ba
a+b
f ( x ) dx
f ( a) + 4 f
+ f (b)
(5.159)
2
2
a
Gaussian quadrature is the optimal (fewest integration points for maximum accuracy)
strategy. For nint , it is defined by
Wi =

(1 i2 )

2
 P

nint

(i )2

1 i nint

(5.160)

where i is the ith root of the Legendre polynomial

Pn ( ) =

1 n 2
( 1) n .
2n n! n

(5.161)

This rule is O(2nint ) accurate in 1-D, and weights and locations are tabulated (see
below).
In 2-D, we can compute
Z 1
1

Z 1
1

nint nint

d g

g(i , j ) Wi Wj .

(5.162)

i =1 j =1

Finally, we often need to convert the derivatives of the shape functions with respect to the
global coordinates to local coordinates: ( x). By means of the chain rule we obtain
Na
Na
Na
=
+
x
x

Na
Na Na
=
+
z
z

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.
z

(5.163)
(5.164)

CHAPTER 5. FINITE ELEMENTS

This can be written in matrix form as

Na Na
Na Na
,
}={
,
}
x z

!
(5.165)

(multiply and add, column wise)

and

Na

as well as

Na

can be easily computed from the shape function definition. How-

ever, the x
type derivatives are not available explicitly. How can we compute them then?
This involves one of the tricks of the FE method, namely by noting that the coordinates of
the element are also approximated by shape functions, in the following manner: We do
know the inverse relationships
nen

x (, ) =

Na (, ) xea

(5.166)

Na (, ) zea

(5.167)

a =1
nen

z(, ) =

a =1

from which we can compute the derivatives of the coordinates versus natural coordinate
as
!
x

J = x =


e.g.

x
=

(5.168)

z
Na
xea ; =

Na e 
za .

It turns out that the Jacobian J is the inverse of eq. (5.165)

!
!
z
x

1
x z
=J =

z
x
j

x z
with


j = det

x z
x z

(5.169)

(5.170)

Therefore


Na Na
,
x z

Na Na
,

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J 1

(5.171)

CHAPTER 5. FINITE ELEMENTS

5.5.5

Simple elements, shape functions and Gaussian quadrature rules

1-D linear shape functions

Na ( ) = 12 (1 + a ) a = 1, 2
with two nodes at 1 = 1; 2 = 1.
(1) a
a

N
(

)
=
=
a
2
2

Quadrature
nint
i
wi
accuracy for integration
R1
1
0
2
2nd order
1 d

1
1
th
2
{ ; } {1,1} 4 order

Figure 5.9: 1-D linear shape functions

Bilinear quadrilateral (quad) element

Figure 5.10: Quad element nodes in local coordinates

four nodes are located at

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CHAPTER 5. FINITE ELEMENTS

1 = {1, 1}
3 = {1, 1}
a = { a , a }

2 = {1, 1}
4 = {1, 1}
etc. for a = 1, 2, 3, 4

Na ( ) = Na (, ) =

1
(1 + a )(1 + a )
4

(5.172)
(5.173)
(5.174)
(5.175)

Figure 5.11: Quad element shape functions

Quadrature in 2-D
nint
visual
i
1
{0, 0}
 [] 

1
2
; 1 }
{
3
3

1
1
{ ; }
3
3
{ 13 ; 13 }
1 1
{
;
}
3
3

wi
4

for integration
R1
R1
d
1
1 d

For higher order quads, see Hughes (2000), sec. 3.7

Figure 5.12: Other quad element families

Hughes (2000) p. 191 discusses the required level of Gaussian quadrature for adequate
convergence for different element types.

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CHAPTER 5. FINITE ELEMENTS

Triangular elements
Linear triangle

Figure 5.13: Linear triangle element nodes in local coordinates

t(r, s)
r
r1
r2
r3

= 1rs
= {r, s}
= {1, 0}
= {0, 1}
= {0, 0}

N1 (r, s) = r
N2 (r, s) = s
N3 (r, s) = t = 1 r s

(5.176)
(5.177)
(5.178)
(5.179)
(5.180)

Quadratic (six node) triangle

N1 =r (2r 1)
N2 =s(2s 1)
N3 =t(2t 1)

N4 = 4 r s
N5 = 4 s t
N6 = 4 r t

See Hughes (2000) Appendix 3.1 for Gauss quadrature formula.

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(5.181)
(5.182)
(5.183)

CHAPTER 5. FINITE ELEMENTS

Figure 5.14: Quadratic triangle element

5.5.6

Inverse transformation of parametric elements

It is straighforward to convert from element-local, , to global coordinates, x, using the

shape functions within each element and the element-local coordinates x a ,
x=

Na ( )xa ,

(5.184)

where = {, } or = {r, s}. However, the inverse transformation, going from an

arbitrary global x to the element-local , is a bit more tricky. This conversion involves two
steps, finding the element in which x lies, and then projecting into the local coordinate
system.
Finding an element can be very fast, for example when the mesh consists of regular
quads, in which case this step only involves finding which row i and column j the point
x = { x, z} lies in by means of division of the grid spacings x and z, i = fix( x/(x )) + 1
and j = fix(z/(z)) + 1, where the element number might be n = i + ( j 1)n x . Here, n x
is the number of elements in each row, and fix the Matlab real to integer conversion that
does not round.
For irregular meshes, finding the element containing x can be tricky and care should be
taken to use optimally fast, geometric methods to find if the point lies within the polygons
defined, e.g. by an irregular triangular mesh. Matlab provides the function pointLocation
for native Delaunay meshes and inpolygon for general meshes, for example.
Triangular elements
Once the element is found, the type of projection depends on the type of element. For
triangular, 2D elements, the operation is fairly straightforward. If xi and zi are the nodal

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CHAPTER 5. FINITE ELEMENTS

coordinates (i = 1, 2, 3) and x = { x, z}, then
x2 z3 x3 z2 x2 z + xz2 + x3 z xz3
x1 z2 x2 z1 x1 z3 + x3 z1 + x2 z3 x3 z2
x z3 x3 z1 x1 z + xz1 + x3 z xz3
s = 1
x1 z2 x2 z1 x1 z3 + x3 z1 + x2 z3 x3 z2

r =

(5.185)
(5.186)

for the shape functions defined in eqs. (5.178) and (5.179).

Quadratic elements
If the mesh is regular, one can easily convert x to = {, } given the distance from the
center of the element in question. If the element is irregular, different cases have to be
distinguished and those and the corresponding equations are discussed in ?.

5.6

Exercise: Heat equation in 2-D with FE

Reading
Hughes (2000), sec. 2.3-2.6
Dabrowski et al. (2008), sec. 1-3, 4.1.1, 4.1.3, 4.2.1
This FE exercise and most of the following ones are based on the MILAMIN package
by Dabrowski et al. (2008) which provides a set of efficient, 2-D Matlab-based FE routines
including a thermal and a Stokes fluid solver. Given that the code uses Matlab, MILAMIN
is remarkably efficient and certainly a good choice for simple 2-D research problems that
lend themselves to FE modeling. You may want to consider working on expanding the
MILAMIN capabilities, e.g. by adding advection to the thermal solver and combining it
with the Stokes solver for a convection code.
Over the next sections, we will discuss all of the issues described in Dabrowski et al.
(2008). This paper will be a good additional reference, and the original MILAMIN Matlab
codes can be downloaded from http://milamin.org/ (the latter will not be of help with
the exercises).

5.6.1

Implementation of 2-D heat equation

We spent the last three sections discussing the fundamentals of finite element analysis
building up to the solution of the 2-D, stationary heat equation, which is given by




T

= H,
(5.187)
x
x
z
dz

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CHAPTER 5. FINITE ELEMENTS

where is conductivity (not diffusivity, we use to distinguish from the stiffness matrix
K), and H are heat sources. Both and H may vary in space, and, unlike for FD, the
solution domain can now be irregular.
The FE approach casts the boundary value problem (boundary conditions are assumed given) in the weak (variational) form, discretized on elements on which shape
The solution is given by nodal
functions, N, approximate the solution of the PDE as T.
temperatures T = { TA } for all NNOD nodes of the mesh, which can be combined to
NNOD

T ( x, z) =

NA ( x, z) TA .

(5.188)

A =1

Following, e.g., Hughes (2000), we use the Galerkin approach for which the resulting stiffness matrix components, on an element level, is


Z
Na Nb
e Na Nb
e

+
d.
(5.189)
Kab =
x x
z z
e
Here, a and b are node numbers local to element e, and integration e is over the element
area.
If we express the spatial coordinates x = { x, z} in a node-local coordinate system =
{, } and use Gaussian quadrature with N I NT points and weights Wi for integration,
we need to evaluate terms of the kind


Z 1
Z 1
Na Nb Na Nb
e
+
J 1 j
(5.190)
Kab =
d
d

1
1


N I NT
Na Nb Na Nb
e
+
J 1 j
(5.191)
Kab = Wi i

i
where J 1 is the inverse and j = det(J ) = |J | the determinant of the Jacobian matrix
!
x

J=

(5.192)

respectively.
The load vector F has to be assembled on an element basis as
Fae

Z
e

e
Na Hd Kab
Tb ,

(5.193)

where the terms on the right hand side are due to heat sources, H, and a correction due to
prescribed temperatures on the boundaries T (zero flux BCs need no specific treatment,
see Hughes, 2000, p. 69 and Dabrowski et al. (2008)). The global K and F are assembled by
looping through all elements and adding up the K e and F e contributions, while eliminat are supplied.
ing those rows that belong to nodes where essential boundary conditions (T)
The solution is then obtained from solving
KT = F.
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CHAPTER 5. FINITE ELEMENTS

Meshing
Download generate_mesh.m. Start by reading through this Matlab code, it is a modification of the MILAMIN wrapper for triangle. Triangle is a 2-D triangular mesh generator
by Shewchuk (2002). That work is freely available as C source code and a flexible, production quality Delaunay mesh generator. A Delaunay mesh is such that all nodes are
connected by elements in a way that any circle which is drawn through the three nodes
of an element has no other nodes within its circumference.
Aside: The dual graph (sort of the graphic opposite) of a Delaunay mesh are the
Voronoi cells around each node. Those can be constructed based on the triangulation by
connecting lines that are orthogonal to each of the triangles sides and centered half-way
between nodes. Those two properties are important for computational geometry, inverse
theory, and interpolation problems.
A Delaunay triangulation is the best possible mesh for a given number of nodes in the
sense that the triangles are closest to equilateral. For FE analysis, we always strive for
nicely shaped elements (i.e. not distorted from their ideal, local coordinate system form)
so that the J 1 does not go haywire, and j = det(J ) remains positive.
Typically, meshers like triangle will allow you to refine the mesh (i.e. add more nodes)
for a given boundary structure and overall domain by enforcing minimum area and/or
angle constraints. Those refinements may also be iteratively applied based on an initial
solution of the PDE, e.g. to refine in local regions of large variations (adaptive mesh refinement, AMR).
Exercise Download a test driver for the triangle wrapper, mesher_test.m. You will have
to fill in the blanks after reading through generate_mesh.m, and make sure the triangle
binary (program) is installed on your machine in the directory you are executing your
Matlab commands in.
Note: For this exercise and those below, please first inspect graphs on the screen while playing
with the code, and then only print out a few geometries.

(a) Create a triangular grid using three node triangles for the domain 0 x 1, 0
z 1 using minimum area constraint 0.1 and minimum angle 20 . Create a print
out plot of this mesh highlighting nodes that are on the outer boundary.
(b) Change the area constraint to 0.01, remesh, and replot.
(c) Use second order triangles and an area constraint of 0.005 and minimum angle of
30 .
(d) Using the same quality constraints, create and print out a mesh plot of an elliptical
inclusion of radius 0.2, ellipticity 0.8, and 50 nodes on its perimeter. Color the elements of the inclusion differently from those of the exterior. Denote nodes on the
boundary of the inclusion.
(e) Create and plot a mesh with a circular hole and a circular inclusion of radius 0.1.
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Thermal solver
Download thermal2d_std.m; this is a simplified version of the MILAMIN thermal solver
(thermal2d.m) which should be easier to read than the version of Dabrowski et al. (2008);
it also allows for heat production. Read through this Matlab code and identify the matrix
assembly and solution method we discussed in sec. 5.6.1. Please make sure you take this
step seriously.
Also download and read through shp_deriv_triangle.m and ip_triangle.m which
implement linear (three node) and quadratic (six node), triangular shape functions and
derivatives, and weights for Gauss quadratures, respectively.
Exercise
(a) Download a rudimentary driver for the mesher and thermal solver,
thermal2d_test.m. You will need to fill in the blanks.
(b) Generate a regular mesh with area constraint 0.003 and solve the heat equation with
linear shape functions, without heat sources, given no flux on the sides, unity temperature at the bottom, and zero temperature at the top. Plot your results. Use
constant conductivity.
(c) Place an elliptical inclusion with radius 0.4, ellipticity 0.8, and ten times higher conductivity than the ambient material in the medium, and plot the resulting temperatures. Experiment with variable resolutions and second order triangles. Comment
on the how the solution changes (visually only is OK).
(d) Set the heat production of the inclusion to 10 and 100, and plot the solution. Compare with boundary conditions where zero temperatures are prescribed on all boundary conditions.
(e) Compute the temperature as well as the geothermal gradient at a specific location.
This exercise is so that you gain experience using shape functions and derivatives
of shape functions and requires you to identify the N and N equivalents.

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Figure 5.15: Stress solution for a sheared, elastic box with an inclusion of different strength (see
problem set for details).

5.7

Exercise: Linear elastic, compressible finite element problem

Reading
Hughes (2000), secs. 2.7, 2.9 - 2.11, 3.10
Dabrowski et al. (2008)
This FE exercise is again based on the MILAMIN package by Dabrowski et al. (2008).
Their mechanical solver (incompressible Stokes fluid, to be discussed in the next section) was rewritten for the elastic problem, and simplified to reduce the dependency on
packages external to Matlab.
A highly optimized version of the code that, for example, uses matrix reordering for
K is available from us (this one is closer to the original Dabrowski et al. (2008) code). When
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inspecting the source codes, you should find many similarities (same mesher, same variable structure, etc.) with last sections 2-D heat equation exercise.

5.7.1

Implementation of static 2-D elasticity

Problem in strong form

The strong form of the PDE that governs force balance in a medium is given by

+ f = 0,

(5.195)

where = ij is the stress tensor and f a body force (such as due to gravity). (Note that
this equation is a general force balance equation in the absence of inertia. You can use it
for static elastic deformation, as we do here, or the Stokes fluid flow problem, as we will
discuss subsequently. The difference arises in the constitutive law.)
Written in component form as PDEs for the finite element domain for each of the
three spatial coordinates i this is
ij
+ fi = 0
x j

on

(5.196)

with essential boundary conditions for displacements u = g on g . Natural boundary

conditions for tractions h = n shall apply on h with vector n normal to the boundary
such that
u i = gi
ij n j = hi

on
on

gi
hi .

(5.197)
(5.198)

Here, h and hi , and similar for g, denotes that different components of the traction vector
may be specified on different parts of the domain boundary .
In the case of linear, elastic behavior, the constitutive law linking dynamic with kinematic properties is given by the generalized Hookes law
= Ce

or

ij = Cijkl ekl ,

with the elasticity tensor C, and the strain-tensor , computed as

!
1 u j ui
+
.
ij = u(i,j) =
2 xi
x j
Note 1: Notice the definition of the
the tensor , like u(i,j) .

(i,j)

(5.199)

(5.200)

derivative short-hand, e.g. operating on u to get

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Note 2: C is a 4th order tensor and somewhat cumbersome to deal with. Noticing that
there are only 6 independent components in and , we can write the 21 independent components of C in the Voigt notation, as a 6 6 matrix, CV . However, this
matrix has different definitions (see, e.g. Browaeys and Chevrot, 2004, for a discussion), and is not a tensor anymore. I.e. you can do math with it, such as multiplying
CV 6 to get the stress state, where 6 has the six independent components of , but
you cannot rotate CV anymore. For this, the full 4th order C has to be restored.
For an isotropic material, the constitutive law between total stress and strain thankfully simplifies to
ij = kk ij + 2 ij = ij + 2 ij ,
(5.201)
where and are the shear modulus and Lam`e parameter, respectively; the latter specifies how incompressible a body is. This formulation uses the isotropic dilation,
3

= ii =

ii ,

(5.202)

i =1

and the Kronecker , ij = 1 for i = j and zero for i 6= j.

The elastic moduli can also be expressed differently, e.g. we can write
=

E
2
=
1 2
(1 + )(1 2)

with

E = 2(1 + ),

(5.203)

with the Poisson ratio and Youngs modulus E. (There are only two independent
material parameters for isotropic elasticity.) If a block is fixed at the base and loaded
in z-directions without constraints, then measures the deformation in the horizontal
= xx / zz . E measures the stress exerted for the same experiment if the material is not
allowed to give way sideways (free-slip in z direction) by E = zz / zz .
The incompressibility, K, is defined as
p = K = K ii

(5.204)

where p is pressure with

p=

1
1
ii = ii ,

3
3

(5.205)

and can be computed from

2
E
,
K = + =
3
3(1 2)
or
=

3K (1 2)
.
2(1 + )

Note that = for = 1/4, which is often close to values measured for rocks.

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(5.207)

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Problem in weak form
It can be shown (e.g. Hughes, 2000, p. 77ff) that the equivalent weak form formulation of
the elastic equilibrium PDE is given by the following statement: Find the displacements
u for all virtual displacements w such that
a(w, u) = (w, f ) + (w, h) h

(5.208)

with
a(w, u) =

(w, f ) =

Z
Z

d w(i,j) Cijkl u(k,l )

(5.209)

d wi f i

(5.210)

(w, h) h =

d wi hi
h

i =1

(5.211)

Note that unlike the thermal problem, the solution function we wish to obtain using the
finite element method is a vector, u, rather than a scalar.
Matrix assembly
In the finite element approximation, we then solve for the nodal displacements d which
approximate u within the elements with shape functions N from
Kd = F.

(5.212)

The global K is assembled from the element level by

keab

Z
e

d BaT DBb

(5.213)

where a, b are local node numbers. The elemental force vector at local node a is given by
f ie

Z
e

d Na f i +

d Na hi k ab gb .

he

B connects displacements at the nodal level with strains. For 2-D,

Na
0
x
a .
Ba = 0 N
z
Na
z

(5.214)

(5.215)

Na
x

We can represent the strain tensor as a strain vector e that can be computed from
displacements u by a gradient operator L, like
e = Lu

or

e j = L jk uk .

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In 2-D, for example,

xx
x
e = zz = 0

xz
z

ux
uz


,

(5.217)

where the definition of xy = 2 xy simplifies the notation, and it is where the engineering
strain convention arises. Make sure to distinguish it from , i.e. convert with the factor 2
if needed.
Within each finite element the displacements can be obtained by summation over the
shape functions for each node a, Na , times the nodal displacements,
u = uk = Na d a = Na dka

(5.218)

where d a is the displacement at the local node a, and dka is the k-th spatial component of
this displacement. Then,
e = e j = L jk Na dka = Bjka dka = Ba d a

(5.219)

defines Ba . If we define a stress vector

xx
s = zz
xz

(5.220)

(with xz = 2xy in analogy to xy ), then the (symmetric) elasticity matrix D can be used
to obtain stresses from displacements like
s = De = DBa d a .

(5.221)

The D matrix is a condensed version of C,

D I J = Cijkl ,

(5.222)

where I, J = 1, 2, . . . , nsd (nsd + 1)/2 in nsd dimensions, which exploits symmetries in C

such that
w(i,j) Cijkl u(k,l ) = e(w) T De(u).
(5.223)
Note that D may or may not be identical to C in the Voigt notation, CV .
Equation (5.209) can then be written as
a(w, u) =

d e(w) T De(u),

(5.224)

where e(w) indicates applying the gradient operator to the virtual displacements, as opposed to e(u) as in eq. (5.216).
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In the isotropic, 2-D plane strain approximation, D takes the simple form

0
1
+ 2

0
1
E (1 )

0

+ 2 0 =
D=
,
1 1
(
1 + )(1 2)
12
0
0 2(1 )
0
0

(5.225)

where plane strain means that no deformation is allowed in the y direction, yy = 0. For
the case of plane stress, where deformation is allowed and yy = 0,

1
+ 2

0
E

+ 2 0 =
D=
1 2
0
0

0 0

with
=

2
.
+ 2

0
0 ,

1
2

(5.226)

(5.227)

From eq. (5.227), it is apparent that plane stress reduces the effective, volumetric stiffness
of a body, for = 1/4, = 2/3, because out of plane deformation is permitted.
Viscous equivalence
The constitutive law for linear viscous flow with viscosity , and deviatoric stress , =
is analogous to the elastic case with = 2, assuming the material is incompressible.
2 ,
The latter can, in theory, be achieved by letting 1/2 for which K/ such that
the linear FE approach can be used to solve simple fluid problems. In practice, however,
special care needs to be taken to allow for the numerical solution of the incompressible
elastic, or the Stokes flow case, which we discuss in sec. 5.8.

Exercises
(a) Make sure you have the Matlab subroutines ip_triangle.m, shp_deriv_triangle.
m, generate_mesh.m, and the triangle binary from last section in your working
directory. Both shape functions and the mesher will be reused.
(b) Download elastic2d_std.m, a simple linear elasticity solver, and calc_el_D.m which
assembles D. Also download the driver routine elastic2d_test.m. You will have
to fill in the blanks.
(c) Inspect elastic2d_std.m, compare with the notes above for linear elasticity, and the
heat solver from sec. 5.6.
(d) Download and inspect det2D.m, inv2D.m, and eig2d.m (for computing the determinant, inverse, and eigen system of 2 2 matrices, respectively). Writing out these
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operations specifically slightly improves performance compared to using Matlabs
inv and eig functions. Also download arrow.m, which is a routine to plot vectors
from the web, and download and inspect calc_el_stress.m and
plot2d_strain_cross.m, which are used to compute element integration node stresses
and plot strain- or stress, crossed-vectors symbols for visualization of the stress tensor in the eigen system coordinates, respectively.
(e) Consider a square, homogeneous elastic body with shear modulus = 1, Poissons
ratio = 1/4 and size 1 1 in x and z directions.

Figure 5.16: Load case sketches for some of the exercises, along with common symbols for kinematic boundary conditions.

(a) Assume the body is fixed at the base (zero displacement u for all z = 0),
and sheared with a uniform u x displacement of u0 = 0.1 at the top (z = 1)
(Load case a of Figure 5.16a). Assume the plane strain approximation and zero
density (i.e. zero body forces). What kind of geologic deformation state does
this correspond to? What kinds of displacements would you expect, and how
should the major (1 ) extensional and the major compressional (2 ) stress axis
align?

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(b) Compute the displacements and stresses using the 2-D FE programs provided.
Use linear, three node triangles and experiment with the integration order. Use
a coarse mesh with area constraint 0.01 and angle constraint 25 .
For this and each subsequent problem, hand in three plots: i), of the deformed
mesh, indicating the shape of the deformed body, possibly exaggerating the
displacements of each node; ii) a plot where the background field (colored)
is the amplitude of displacement, and the foreground has displacement vectors, plotted with origin at each original node location; and, iii), a plot of mean
(normal) stress (colored in the background), along with extensional and compressional stress axes vector-crosses. The Matlab routines provided can, with
some alterations, perform all of these tasks.
(c) Compare the predicted stress and displacements for plane strain and plane
stress approximations. Comment.
(d) Compare the distorted mesh shape for linear triangles with that for six node,
quadratic shape functions. Increase the number of elements and compare the
predicted stress fields. Does the displacement and stress field agree with your
expectations for this load case?
(e) Consider Figure 5.16b and prescribe u x displacements linearly tapered from
u x = u0 at z = 1 down to u x = 0 at z = 0. Compare the predicted displacements and stresses with load case Figure 5.16a. Comment on the stress and
displacement fields.
(f) Relax the kinematic boundary conditions on the sides and top and include
body forces with density = 1 at a fixed (no slip) bottom boundary condition (Figure 5.16c). Compute the displacements and stresses, plot those, and
comment.
(g) Compute the body force load case of Figure 5.16d with free-slip (no horizontal
displacements, u x = 0, and no vertical shear stresses, xz = 0) conditions
on the left and right sides. Compare the stress field with the previous, unconstrained case and comment.
(f) Consider the square elastic medium in 2-D plane strain plus a centered, spherical
inclusion with radius 0.2, shear modulus 0.001. Increase the resolution (e.g. use 100
nodes on the outline of the inclusion, 0.001 minimum element area, and 30 triangle
edge angle). Load the system as in Figure 5.16b, compute and plot the stress field,
and comment.
(g) Bonus: Write a subroutine that computes the stresses at the global node locations, as
opposed to the integration points within each element as is currently implemented.
Use the nodal stresses and trisurf to generate a plot of triangles colored according
to their normal stress. Compare with the previous plot.

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5.8

Incompressible flow and elasticity with FE

Reading: Hughes (2000) sec. 4.2-4.4

5.8.1

Governing equations

As for the thermal or the elastic problem, we will only consider the static case (but
see sec. 21 of the notes). In the absence of inertia case (infinite Prandtl number),
this reduces the fluid equilibrium (Navier-Stokes) equations to the Stokes equations
(see secs. 4.10 and 7) which are formally similar to the elastic problem considered in
sec. 18.
Since most fluids are (nearly) incompressible, we will revisit the general problem of
elastic deformation.
The ratio of the bulk modulus, or incompressibility, K, and shear, , modulus can be
expressed as a function of Poissons ratio
2(1 + )
K
=
.

3(1 2)
As noted earlier, for the 21 , incompressible case, K .
However, in this case we cannot use the regular, elastic (isotropic, linear) constitutive
law
ij =
because =

2
12

uk
+ 2 ij = kk ij + 2 ij
xk ij

(5.228)

becomes unbounded for = 12 . Therefore, we need to use

ij = p ij + 2 ij

(5.229)

instead, where the hydrostatic pressure is

1
p = kk .
3

(5.230)

ij = p ij + 2 ij

(5.231)

The fluid equivalent of eq. (5.229) is

and is the dynamic viscosity. Since

where we have replaced strain with strain rate ,
the addition of p has introduced another unknown, we require an additional constraint in
addition to force balance ( = f ) which is given by the continuity (of mass) equation.
In the case of an incompressible medium

u =

ui
=0
xi

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so that the strong form of the incompressible elastic and fluid problems become
ij
+ fi = 0
x j
ui
=0
xi
u i = gi
ij n j = hi

ij
+ fi = 0
x j
vi
=0
xi
v i = gi
ij n j = hi

(5.233)
(5.234)
(5.235)
(5.236)

where eqs. (5.233) and (5.234) hold in the domain , eqs. (5.235) and (5.236) are boundary
conditions and hold on gi and hi respectively. u and v are displacement and velocity,
respectively, and
!
1 u j ui
ij = u(i,j) =
+
(5.237)
2 xi
x j
!
vi
1 v j
+
ij = v(i,j) =
.
(5.238)
2 xi x j
Note that from eq. (5.232) and by Gau Theorem
Z

u
d i =
xi

d ui ni =

d gi ni = 0

(5.239)

and if there are only displacement/velocity BCs, and f = 0, then pressures are only
determined up to a constant.

5.8.2

FE solution to the incompressible elastic/flow problem

Different approaches exist involving Lagrange multipliers, penalty methods (see sec. 4.10),
or Uzawa iterations. See for example, Zhong et al. (2007). All methods typically involve
a stiffening of the deforming structure using some parameter that controls the degree
of compression. would lead to the desired case of u = 0, but may lead to an
ill-conditioned (hard or impossible to invert) matrix. We will pursue a mixed formulation.
Mixed formulation
This is valid both for compressible and incompressible behavior, such that
ij = p ij + 2 ij
p0

ui
+ =0
xi

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(5.241)

CHAPTER 5. FINITE ELEMENTS

where eq. (5.241) corresponds to the elastic case. For

1
2

For < 21 , we can eliminate eq. (5.241)

p0 =

ui
xi

ui
xi

= 0.

(5.242)

such that (5.240) recovers

ui
+ 2 ij .
xi ij
However, p0 is the proper hydrostatic pressure
ij =

1
p = ij
3
only for the incompressible case. For the compressible case


2
1
ii = K ii
p = ij = +
3
3
with the incompressible modulus K = +

2
3 ,

but from eq. (5.242)

p0 = ii .
p0 p and K only for  , the nearly incompressible case. The major results are
outlined below.
Equations in strong form
ij
+ fi
x j
p
ui
+
xi

ui
ij n j

=0

on

(5.243)

=0

on

(5.244)

= gi
= hi

on gi
on hi

(5.245)
(5.246)

Equations in weak form

Z

d w(i,j) ij


d q

ui
p
+
xi

nsd Z

d wi f i +

dhi wi hi

(5.247)

where w, g are virtual displacements and pressures, respectively, and nsd is the number
of dimensions. Special care must be taken in the next step: the choice of shape functions
for pressure and velocities/displacements (see Hughes, 2000, sec. 4.3), but in general, the
pressure shape functions should be lower order (e.g. linear) than the displacements (e.g.
quadratic).

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Matrix formulation


K G
GT M

   
d
F
=
p
H

(5.248)

where the LHS is symmetric but not positive definite (it has negative eigen values or
zero eigen values for pressure modes), p are the pressures at nodes (e.g. center of element),
d are the displacements at nodes (e.g. edges of elements), F are the body forces, and H is
the divergence source in the boundary conditions.
This is called the segregated d/p form of the equations and is valid for the general
(including finite compressibility) case.
K
G

a (w, d)
( w, p)

stiffness matrix (symm, pos. def.)

gradient operator

(5.249)
(5.250)

GT

(q, v)
 p
q,

divergence operator

(5.251)

symm, neg. def. for

1
2

and M

(5.252)

In general, we can distinguish 3 cases:

(a) The compressible case
K d + G p = F

(5.253)

GT d + M p = H

(5.254)

solve for p
p = M 1 ( H G T d )

(5.255)

substitute eq. (5.256) into eq. (5.253)

K d + G M 1 ( H GT d) = F
(K G M 1 GT )d = F G M 1 H

(5.256)

which reduces to solving the following system of equations

Kd=F
where K is symmetric and positive definite and K = K G M 1 GT and F =
F G M 1 H from eq. (5.256). As the condition number of K is larger then that
we generally need to use direct solvers for this approach.
of K,
If p is discontinuous on the elements, eq. (5.256) can be solved locally, on the element level.
determine p from eq. (5.241).
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(b) The incompressible case
Solve eq. (5.253) for d, pre-multiply with GT and use eq. (5.254) to get the pressure.

(GT K 1 G) p = GT K 1 F H
K
p =
F

(5.257)
(5.258)

(c) The element-by-element, discontinuous pressure case

Kd= F
u( x) =

(5.259)

Na (x) da

(5.260)

N a (x) pa

(5.261)

p( x ) =

K Ke
F fe

from element levels

K e = K e g e (me )1 (g e ) T
f e = f g e (me )1 he
pe = (me )1 (g e ) T d

Matrix assembly for the element-by-element, discontinuous pressure case

K ab =

Z
e

Bb
d BaT D

D here only has deviatoric terms, for the plane strain case

2 0 0
= 0 2 0 ,
D
0 0 1
and B transforms displacements into strains (as before).
fpe =

d Na f i +

Z
h

Na hi k pq gqe
i

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(5.263)

CHAPTER 5. FINITE ELEMENTS

Pressure components
mea b =

Z
e

1
Na Nb

Mixed

(5.264)
(5.265)

ga a =

a
d ( Na e) N

hea = gep a gep

(5.266)
(5.267)

Stress vector for 2-D plane strain

1

( x) Ba ( x) d a

( x) = Na ( x) p a 1 + D
a
a
0
in each element.
Powell and Hestenes iterations
As detailed in the problem set on the 2-D Matlab implementation (cf. Dabrowski et al.,
2008), iterations are needed to stabilize the solution of the segregated form for the incompressible problem, or for large . Another way to think of it is that we actually solve a
case with a compressible bulk deformation; iterations are performed until the resulting
system is incompressible.
p0 = 0
while max (pi ) > tolerance
di = (K G M 1 GT )1 ( F G pi )
i

p = M
p

i +1

T i

G d

= p + p
i = i+1

quasi-divergence

end

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(5.269)
(5.270)
(5.271)

CHAPTER 5. FINITE ELEMENTS

Figure 5.17: Pressure and velocity solution for a sinking, fluid slab impinging on viscosity contrast
problem.

5.9

Exercise: Linear, incompressible Stokes flow with FE

Reading
Hughes (2000), sec. 4.2-4.4
Dabrowski et al. (2008), sec. 4.1.2, 4.3.1, 4.4-4.7
This FE exercise is again based on the MILAMIN package by Dabrowski et al. (2008).
As for the heat and elasticity problems, we simplified their mechanical, incompressible
Stokes fluid solver to reduce the dependency on packages external to Matlab. Dabrowski
et al. (2008) have a highly optimized version, which you can obtain from us or the original authors; it uses, e.g., reordering of node numbers to improve matrix solutions which
comes an important memory issue for larger problems. The notation here is close to
Dabrowski et al. (2008), for simplicity, but Hughes (2000) has a somewhat clearer exposition.

5.9.1

Implementation of incompressible, Stokes flow

We are interested in the instantaneous solution of a fluid problem in the absence of inertia
(infinite Prandtl number limit), as is appropriate for the Earths mantle, for example (see
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secs. 4.10 and 5.7). These approximations transform the general, Navier-Stokes equation
for fluids into the Stokes equation, which is easier to solve, on the one hand, because there
is no turbulence. On the other hand, it is more complicated numerically as Stokes requires
implicit solution methods, whereas turbulent equations can often be solved in an explicit
manner.
The static force-balance equations for body forces due to gravity are given by

= f = g or

ij
= gi ,
x j

(5.272)

where is the stress tensor, density, and g gravitational acceleration (gi = giz ).
We assume that the medium is incompressible and a linear (Newtonian) fluid constitutive law holds,
ij = pij + 2 0ij ,
(5.273)
where is the viscosity, p pressure, and 0 the deviatoric strain-rate tensor,
!
v j
1 vk
1 vi
1
1 vk
0
+

ij =
ij , or 0 = tr ( ),
ij = v(i,j)
3 xk
2 x j xi
3 xk
3

(5.274)

where v are the velocities, and 0 is the total strain-rate reduced by the isotropic part.
We can define
1
1
1
e = ii = ii = tr ( )
(5.275)
3 i
3
3
in analogy to the pressure
p=

1
ii
3
i

(5.276)

such that deviatoric stress and strain-rate are defined from the isotropic quantities as
ij = ij + pij ,

and

(5.277)

0ij

and

(5.278)

ij ,
= ij e

(5.279)
Using the constitutive law, and assuming 2-D (x-z space), the Stokes equation can be
written as (also see sec. 7)
 

 


4 v x 2 vz

v x vz
p

= 0
(5.280)
x
3 x
3 z
z
z
x
x
 

 


4 vz 2 v x

v x vz
p

= gz .
(5.281)
z
3 z
3 x
x
z
x
z
Often, we write the constitutive law for deviatoric quantities only,
ij = 2 0ij

with

ij = ij + p = ij kk /3.

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Incompressibility translates to a constraint on the divergence of the velocity
vi
= 0,
xi

v = 0 or

(5.283)

which allows solving eq. (5.272) for the additional unknown, pressure. For v = 0,
tr ( ) = 0

0 = ,

(5.284)

but we made the distinction between deviatoric and total strain-rate because we numerically only approximate the incompressible continuity equation, eq. (5.283), by requiring
the divergence to be smaller than some tolerance.
There are several approaches to do this (e.g. penalty methods (sec. 4.10) or Lagrange
methods) which typically involve iterations to progressively introduce additional stiffness to the medium (sec. 5.8). We shall allow for a finite, large bulk viscosity, , such that
eq. (5.283) is approximated by
p
v x vz
+
= ,
(5.285)
x
z

the right hand side would 0 for . Eq. (5.285) is valid for the incompressible and
the compressible cases. However, for the compressible case, where the constitutive law,
eq. (5.273), is replaced by
v
ij = k ij + 2 ij ,
(5.286)
xk
p cannot be interpreted as the actual pressure, P = ii /3, rather it is a pressure parameter because
v
(5.287)
P = ( + 2/3) i
xi
and
p =

vi
.
xi

(5.288)

Note: The general, compressible case is identical to the elastic formulation where v u
and the constitutive law is
v
ij = k ij + 2 ij .
(5.289)
xk

5.9.2

Problem in strong form

The (finite element) solution is to be found for the problem stated by eqs. (5.272) and
(5.285),
ij
+ fi = 0
x j
vi
p
+
= 0
xi

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(5.291)

CHAPTER 5. FINITE ELEMENTS

with boundary conditions
v i = gi
ij n j = hi

on
on

gi
hi

(5.292)
(5.293)

for velocities and tractions, respectively.

Problem in weak form
The pressure equation modifies the stiffness matrix component such that

 Z
Z
Z
nsd Z
vi
p
d w(i,j) ij d q
+
= d wi f i +
d wi hi ,
xi

h
i
i

(5.294)

with nsd the number of spatial dimensions. We again use the Galerkin approach, which
leads to the matrix equations.
Matrix assembly
In analogy to the elastic problem, we define a (total) strain-rate vector e = { xx , zz , xz =
2 xz } such that strain-rates on an element level can be computed from
e = Bv,

(5.295)

where v are velocities given at the element-local nodes, and B holds the derivatives, as
before. When expressed for the local node a and shape functions Na ,

Na
0
x
a .
(5.296)
Ba = 0 N
z
Na
z

Na
x

Likewise, deviatoric stresses can be computed from t = D e,

where the property matrix D
shall be given by
4

2
3 3 0
4
,
D = 23
(5.297)
3 0
0
0 1
for a plane-strain approximation (compare the elastic case). This allows to express the
stress vector with pressure part as
s = pm + D e,

where m = {1, 1, 0}. The deviatoric-only version of D is

2 0 0
D0 = 0 2 0 .
0 0 1
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CHAPTER 5. FINITE ELEMENTS

In analogy to the displacement, u, representation for the elastic problem, interpolated
velocities, v, are assumed to be given by the summation over the nodal velocities times
the shape functions within each element
v( x)

Na (x)va .

(5.300)

a =1

Given the incompressibility constraint, special care has to be taken in the choice of shape
functions, and we will use the seven-node, Crouzeix and Raviart (1973) triangle with quadratic
shape functions Na (cf. Dabrowski et al., 2008).
As detailed in Hughes (2000), one can either choose conforming elements for the
problem at hand and get a nice solution for the velocities and pressure right away (which
is what we do here), or choose theoretically inappropriate shape functions and later correct the pressure (e.g. for so-called checkerboard modes). The latter, rough-and-ready
approach may seem less appealing, but works just as well if done properly.
A departure from the elastic problem is that the pressure is treated differently from v,
and we use linear (constant) shape functions for
p( x) =

0 N a0 (x) pa0 = N a0 pa0 ,

(5.301)

where a0 indicates an element-local node, to be distinguished from a which we use for

the velocity shape function, and the respective total node number per element may be
different (e.g. seven for velocities, one for pressure). This approach is called the mixed
formulation. Correspondingly, we introduce an isotropic strain operator Bv , such that

v = v = Bv ve ,

(5.302)

and pe = Bv ve .
The global system of equations for velocity, V , and pressure, P, at the nodes is given
by


 

V
F
A QT
=
,
(5.303)
P
H
Q M
where F are the load vectors, e.g. due to body forces, and H is due to the divergence that
may be imposed traction loads for the compressible case (H = 0 for incompressible case).
On an element-level, the stiffness matrix is given by


Z
A
QT
e
(5.304)
kab =
d
Q 1 M
e
 T

Z
T
Ba DBb BvT N
=
d
v 1N
T ,
NB
e
a Nb
v, M = N
N
T , and A corresponds to the total stiffness matrix k in the elastic
i.e. Q = NB
case. We have omitted the dependence on the local node number in eq. (5.304). Note
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that all operations involving Q and M involve the pressure, and not the velocity, shape
functions.
We avoid having to actually solve for the global p by using the static condensation.
This means that we locally (element by element) invert M to obtain the pressure from


a0 p a0 = N
T M 1 Qve = Bv ve .
pN
(5.305)
(This is not a good idea if combined with iterative solvers.)
We can then simplify eq. (5.304) to the global, linear equation system
A0 V = f ,

(5.306)

which is to be solved for the nodal velocities V . Here, f = { f e } = {e g e } and (the Schur
complement)
A0 = A + QT M 1 Q.
(5.307)
A0 is now symmetric and positive-definite, and the regular, efficient matrix solution methods can be applied. (Note that the A is only symmetric if the Dirichlet boundary conditions are applied carefully. If implemented straightforwardly, A is not symmetric.)
However, the matrix becomes ill-conditioned (hard to invert) for the desired large values of , which is why iterations for the velocity solution are needed in order to achieve
the incompressibility constraint. Our example code applies Powell and Hestenes iterations for the global velocity and pressure vectors V and P (cf. Dabrowski et al., 2008), as
in
P0 = 0, i = 0
while max(Pi ) > tolerance
V i = (A0 ) 1 ( f Q T P i )

(5.308)

Pi = M 1 QV i
Pi+1 = Pi + Pi
i = i+1
end while
If and when the algorithm converges, the pressure correction Pi = M 1 QV , which depends on the divergence, M 1 QV , goes to zero. Above, all matrices are meant to be the
global, not element-local representation.

5.9.3

Exercises

(a) Make sure you have the common FE Matlab subroutines from the earlier exercises
(ip_-triangle.m, shp_deriv_triangle.m, genereate_mesh.m), and the triangle
binary in your working directory.
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(b) Download the mechanical2d_test.m driver, and the mechanical2d_std.m solver.
Inspect both and compare with above for implementation. You will have to fill in
the blanks in the driver.
(c) Compute the sinking velocity of a dense sphere (i.e. disk in 2-D) with radius 0.1 that
is centered in the middle of the 1 1 box with free-slip boundary conditions (no
shear stress tangentially to the boundary, no motion perpendicular to the boundary)
on all sides.
Ensure that the sphere is well resolved by choosing 50 points on its circumference
and using a high quality mesh. Use the second order triangles (six nodes on the
edges plus one added in the center), and six integration points.
(a) Note how boundary conditions are implemented in the Matlab code, and comment on essential and natural types.
(b) Compute the solution for the dense sphere with the same viscosity as the background. Plot the velocities on top of the pressure within the fluid. You may
choose whichever absolute parameter values you like but will have to be consistent subsequently.
(c) Change the number of integration points to three, and replot. Change the type
of element to linear, replot. Comment on the velocity and pressure solution.
(d) The solver applies a finite bulk viscosity (it should be for an incompressible fluid). For increasing sphere/medium viscosity contrasts upward of 103 ,
experiment with increasing the pseudo-incompressibility and comment on the
stability of the solution. After this experiment, reset to the starting value.
(e) The solver applies iterations to enforce the incompressibility constrain. Change
the tolerance criterion and comment on the resulting velocity and pressure solutions.
(f) Change back to seven node triangles with six integration points. Plot the vertical velocity, vz , along a profile for x [0; 1] at z = 0.5.
(g) Vary the radius of the sphere and comment on how the vz profiles are affected
by the size of the sinker relative to the box size. How small does the sphere
have to be to not feel the effect of the boundaries?
(h) Change the boundary conditions to no-slip (v = 0 on all domain edges), replot
the vertical velocity profile for a sphere of radius 0.1. Comment. Change back
to free-slip subsequently.
(i) Compute the sinking velocity of a dense sphere with radius 0.1 that is 0.001,
1, and 1,000 times the background viscosity. Define the sinking velocity as the
maximum velocity at the spheres origin at x = {0.5, 0.5}.
(j) Provide an analytical estimate for the sinking velocities and compare with the
numerical estimates.
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(d) Compute the sinking velocities of a highly elliptical (choose ellipticity 0.975, radius
0.25) body whose viscosity is 1,000 times the background viscosity. Investigate the
case where this needle is oriented horizontally (i.e. perpendicular to the sinking
velocity at its center) and when it is oriented vertically (i.e. aligned with the sinking
velocity at its center). Comment on the difference in the maximum sinking velocity
between the two elliptical and the spherical cases.
(e) Bonus (somewhat involved): Compute the sinking velocity for a non-Newtonian, powerlaw fluid with 0I I InI where n = 3, and I I indicated the second, shear invariants.
Hints: You will have to convert the constitutive law to a viscosity, for which you can
assume constant strain-rates. Then, you will have to modify the code to compute
the strain-rate tensor to obtain the second invariant, I I . (You might want to check
the elastic exercise for the use of D and B to obtain strain and stress.) This strain-rate
will then enter the viscosity, and you will have to use a second iteration loop, starting with a Newtonian viscosity, then updating the viscosity from the first velocity
solution, and repeat until velocities do not change by more than some tolerance.

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5.10

Time-dependent FE methods

So far, we have only considered static solutions for heat and continuum mechanics problems. Finite elements can also be used to solve dynamic, or time evolving problems.
In analogy to our treatment of FD methods, the ODE part of the equations (the timederivative) can be dealt with by implicit or explicit methods.
Reading: Hughes (2000) sec. 7.1, 8.1-8.2

5.10.1

Example: Heat equation

We return to the heat equation as an example of a parabolic PDE (as opposed to hyperbolic, e.g. wave propagation problems).
Strong form of the problem
qi = ij

T
x j

(heat flux)

where ij is the conductivity matrix.

T+
q =H
t
xi i
T
(c p
k 2 T = H
t

(5.309)

c p

for isotropic conductivity)

(5.310)

Boundary conditions
T = g on g
qi ni = h on h

(essential)
(natural)

Initial conditions
T ( x, t = 0) = T0 ( x)

(5.311)

(w, c p T ) + a(w, T ) = (w, H ) + (w, h)

(w, c p T (0)) = (w, c p T0 )
T
T =
t

(5.312)
(5.313)

Weak form

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CHAPTER 5. FINITE ELEMENTS

Galerkin approximation, in analogy to static case
T ( x, t) ' v( x.t) + g( x, t)
(w, c p v ) + a(w, v) = (w, H ) + (w, h) (w, c p g ) a(w, g)

(5.315)
(5.316)
(5.317)

where we have assumed that the spatial derivatives are now approximated by FE as expressed by v but time is still left continuous,
Matrix assembly
v( x, t) =

NA ( x ) d A ( t )

(5.318)

approximation with shape functions

NA for all global nodes
The new matrix equation is
initial condition M d + K d = F,

d (0) = d0

(5.319)

with
assembly from element level me :
local nodes a,b :
mass or capacity matrix :
conductivity matrix :
same as the static case :
F = heat supply vector :
from BCs :

M me
me = [meab ]
meab

Z
e
e

d Na c p Nb

KK
e
K e = [Kab
]
e
Kab

Z
e

(5.321)

d BaT D Bb

F fe
f e = [ f ae ]
f ae

Z
e

(5.322)
Na H +

Initial condition :

(5.320)

Z
h
e

e
dNa h (Kab
gb + m ab g b )

d0 = M d ; d d
de = [dea ]
da =

Z
e

(5.323)

Na c p T0 m ab gbe (0)

(See Hughes, 2000, p. 421).

The main difference with the static sets of equation for the heat equation is the introduction of the M matrix and the need to solve eq. (5.319) as an ODE.
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5.10.2

Solution of the semi-discrete heat equation

Solve
M d + K d = F
with IC d = d0

(5.324)

Note that M , K are symmetric, M is positive definite and K is positive semi-definite (not
pos. def. anymore). A general approach to solve eq. (5.324) is by the generalized trapezoidal method (see Hughes, 2000, p. 459).

Generalized Trapezoidal Method

M v n +1 + K d n +1 = F n +1
v

n+

dn+1 = dn + t vn+

(5.325)

n +1

(5.326)

= (1 )v + v

where dn and vn are the approximations to d(t = tn ) and d(t = tn ), respectively, with
tn+1 = tn + t

(5.327)

as for the finite difference method. For the following s the methods in the table below
are recovered.

0 forward Euler, fully explicit

0.5 midpoint, Crank-Nicolson
1 backward Euler, fully implicit
v - form implementation
(a) Start at t = t0 with d = d0 given for n = 0.
(b) Estimate v0 ' d0 from
M v0 = F0 K d0

(5.328)

dn+1 = dn + (1 )t vn

(5.329)

(c) Compute predictor

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Combine eq. (5.325) & (5.326) with (5.329)
dn+1 = dn+1 + t vn+1

(5.330)

(M + t K )v n+1 = F n+1 K dn+1

(5.331)

into eq. (5.324)

(d) Solve eq. (5.331) for vn+1 (rest is known)

(e) Advance t = t + t and return to step 3.
Note that for the fully explicit case with = 0 and a lumped M matrix (5.331) (i.e.
diagonal) does not involve any equation solving for time-stepping. M is lumped for
and c p constant.
d - form implementation
Instead of eq. (5.331), we use (for 6= 0)
1
1
(M + t K )dn+1 = F n+1 +
M dn+1
t
t

(5.332)

to obtain dn+1 , and then update

v n +1 =

dn+1 dn+1
t

(5.333)

The right hand side of eq. (5.332) is fast to compute for diagonal M .
1
2

The generalized trapezoidal methods are <

t .

conditionally stable for

2
(1 2) h2

(5.334)

where h is the smallest grid spacing in the mesh (h , mesh parameter). For the fully
explicit method ( = 0), we recover
t

2
h2

as in the finite difference method.

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For 21 , the method is unconditionally stable. The best accuracy is obtained by

the Crank-Nicolson scheme for = 12 , the extremes of = 0 and = 1 are only first
order accurate. It is therefore a good idea to use the = 21 scheme if the equation
solving required for implicit methods is feasible.
If the complete matrix inversion required for implicit schemes is not feasible, the
element-by-element approach of Hughes (2000) p. 484 (preconditioned conjugate
gradient with Crout factorization) can be used.
For solutions of wave propagation (hyperbolic and parabolic - hyperbolic) problems, see Hughes (2000), chap. 9.

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Part IV
Appendix

175

Chapter 6
Basic calculus and algebra review
This section provides a few brief notes on math notation and concepts needed for this text.
Not all concepts and formula are presented in a mathematically rigorous way, and you
should refer to something like a Math for Engineers text for a more complete treatment.
For most of this text, it will be assumed that the reader is familiar with the material treated
in this chapter.

6.1
6.1.1

Calculus
Full and partial derivatives

In calculus, we are interested in the change or dependence of some quantity, e.g. u, on small
changes in some variable x. If u has value u0 at x0 and changes to u0 + u when x changes
to x0 + x, the incremental change can be written as
u =

u
( x0 )x.
x

(6.1)

The (or sometimes written as capital ) here means that this is a small, but finite quantity. If we let x get asymptotically smaller around x0 , we of course arrive at the partial
derivative, which we denote with like
u
u
( x0 ) =
.
x
x 0 x
lim

(6.2)

The limit in eq. (6.2) will work as long as u doesnt do any funny stuff as a function of x,
like jump around abruptly. When you think of u( x ) as a function (some line on a plot)
that depends on x, u/x is the slope of this line that can be obtained by measuring the
change u over some interval x, and then making the interval progressively smaller.
0
We call u
x (we also write in shorthand x u ( x ) or u ( x ); if the variable is time, t, we also
use u (t) for u/t) the partial derivative, because u might also depend on other variables,
e.g. y and z. If this is the case, the total derivative du at some { x0 , y0 , z0 } (we will drop (i.e.
176

CHAPTER 6. BASIC CALCULUS AND ALGEBRA REVIEW

not write down) the explicit dependence on the variables from now on) is given by the
sum of the changes in all variables on which u depends:
du =

u
u
u
dx +
dy +
dz.
x
y
z

(6.3)

Here, dx and similar are placeholders for infinitesimal changes in the variables. This
means that eq. (6.3) works as long as dx is small enough that a linear relationship between
u and x still holds. In fact, we can perform a Taylor approximation on any u( x ) around
x0 by
u ( x ) = u ( x0 ) +

2 u
( x x0 )2 3 u
( x x0 )3
u
( x0 )( x x0 ) + 2 ( x0 )
+ 3 ( x0 )
...
x
2!
3!
x
x

(6.4)

Here, xu2 is the second derivative, the change of the change of u with x. n! denotes the
factorial, i.e.
n! = 1 2 3 . . . n.
(6.5)
So, as long as dx = x x0 is small, the derivative will work (for well behaved u). For example, if better approximations are needed, e.g.when the strain tensor is not infinitesimal
anymore, quadratic and higher terms like the one that goes with the second derivative
in the series eq. (6.4) and so on need to be taken into account. Finite difference methods
essentially use Taylor approximations to approximate derivatives, as we will see later.
How to compute derivatives
functions:

Here are some of the most common derivatives of a few

function f ( x )

derivative f 0 ( x )

comment

xp

px p1

exp( x ) = e x
ln( x )
sin( x )
cos( x )
tan( x )

ex
1/x
cos( x )
sin( x )
sec2 ( x ) = 1/ cos2 ( x )

special case: f ( x ) = c = cx0 f 0 ( x ) = 0

where c, p are constants
thats what makes e so special

If you need to take derivatives of combinations of two or more functions, here called
f , g, and h, there are four important rules (with a and b being constants):
Chain rule (inner and outer derivative):
If

f ( x ) = h( g( x ))
f 0 ( x ) = h0 ( g( x )) g0 ( x ),

i.e. derivative of nested functions are given by the outer times the inner derivative.
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CHAPTER 6. BASIC CALCULUS AND ALGEBRA REVIEW

Sum rule:

Product rule:

( a f ( x ) + bg( x ))0 = a f 0 ( x ) + bg0 ( x )

(6.8)

( f ( x ) g( x ))0 = f 0 ( x ) g( x ) + f ( x ) g0 ( x )

(6.9)

Quotient rule:
If

g( x )
h( x )
g0 ( x ) h( x ) g( x ) h0 ( x )
f 0 (x) =
h ( x )2
f (x) =

(6.10)
(6.11)

If you need higher order derivatives, those are obtained by successively computing
derivatives, e.g. the third derivative of f ( x ) is
 


3 f ( x )
=
f (x)
.
(6.12)
x x x
x3
Say, f ( x ) = x3 , then

3 x 3
=
3
x
x

6.1.2

3
x
x



=
x

2
3x
x

6x = 6.
x

(6.13)

Divergence and curl

Operators are mathematical constructs that do something with the entity that is written to
their right. For example, we had earlier introduced the gradient operator, (the del operator is represented by the Nabla symbol ), which takes derivatives in all directions and,

in a Cartesian system, is given by = { x
, y , z }. Note that the operatore is a vector.
When applied to scalar field (a distribution of values that depends on spatial location),
such as a temperature distribution T ( x, y, z) (meaning T is variable with coordinates x, y,
and z, assumed implicitly for all properties from now on), the gradient operation

grad T = T =

T
x
T
y
T
z

(6.14)

generates a vector from the scalar field which points in the direction of the steepest increase in T.
Consider what can do to a vector field (i.e. vectors that vary in space, x). If
v( x) = {v1 ( x), v2 ( x), v3 ( x)}
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CHAPTER 6. BASIC CALCULUS AND ALGEBRA REVIEW

is a velocity field, then the divergence (grad dot product) operation on a vector field
div v = v

(6.16)

from the strain-rate tensor

is equivalent to finding the dilatancy (volumetric) strain-rate 4
components because

= V = tr ( ) = ii = 11 + 22 + 33 = v1 + v2 + v3 = v.
4
V
x1 x2 x3
i

(6.17)

volume rate-change and, mind you, the strain-rate tensor,

Here V is volume, and V
,
is defined as
!
v
1 vi
j
+
.
(6.18)
= ij =
2 x j xi
In complete analogy, if the vector field are displacements u( x), then u yields the dilatancy, i.e. the trace of the strain tensor, ,
!
1 ui u j
+
.
(6.19)
= ij =
2 x j
xi
Eq. (6.17) illustrates that the divergence has to do with sinks and sources, or volumetric effects. The volume integral over the divergence of a velocity field is equal to the
surface integral of the flow normal to the surface. (An electro-magnetics example: For the
magnetic field: div B = 0 because there are no magnetic monopoles, but for the electric
field: div E = q, with electric charges q being the source.)
If we take the vector instead of the dot product with the grad operator, we have the
curl or rot operation
curl v = v.
(6.20)
The curl is a rotation vector just like . Indeed, if the velocity field is that of a the rigid
body rotation, v = r, one can show that v = ( r ) = 2.
Second derivatives enter into the Laplace operator which appears, e.g. in the diffusion
equation:
2 T 2 T 2 T
(6.21)
2 T = 2 + 2 + 2
x
y
z
Some rules for second derivatives:
curl ( grad T ) = ( T ) = 0
div(curl v) = v = 0

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(6.23)

CHAPTER 6. BASIC CALCULUS AND ALGEBRA REVIEW

6.1.3

Integrals

Taking an integral
F(x) =

f ( x )dx,

(6.24)

in a general (indefinite) sense, is the inverse of taking the derivative of a function f ,



f (x)
F
= f (x) + c
(6.25)
x



f (x)

F
=
(6.26)
( f ( x ) + c ) = f 0 ( x ).
x
x
x
Any general integration of a derivative is thus only determined up to an integration constant, here c, because the derivative, which is the reverse of the integral, of a constant is
zero.
Graphically, the definite (with bounds) integral over f ( x )
Z b
a

f ( x )dx = F (b) F ( a)

(6.27)

along x, adding up the value of f ( x ) over little chunks of dx, from the left x = a to the
right x = b corresponds to the area under the curve f ( x ). This area can be computed by
subtracting the analytical form of the integral at b from that at a, F (b) F ( a). If f ( x ) = c
(c a constant), then
F(x)
F (b)
F ( a)
F (b) F ( a)

=
=
=
=

cx + d
cb + d
ca + d
c ( b a ),

(6.28)
(6.29)
(6.30)
(6.31)

the area of the box (b a) c.

Here are the integrals (anti derivatives) of a few common functions, all only determined up to an integration constant C
function f ( x )

integral F ( x )

comment

xp
ex
1/x
sin( x )
cos( x )

x p +1
p +1 + C
e x +C

special case: f ( x ) = c = cx0 F ( x ) = cx + C

ln(| x |) + C
cos( x ) + C
sin( x ) + C

There are also a few very helpful definite integrals without closed-form anti derivatives,
e.g.

x2
e dx =
(6.32)
2
0
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A standard math textbook, table of integrals, the Mathematica software, or Wikipedia
will be of help with more complicated integrals.
A few conventions and rules for integration:

R
Notation: Everything after the sign is usually meant to be integratedRover up to the
dx, or the next major mathematical operator if the dx is placed next to the if the context
allows:
Z
Z
(6.33)
( a f ( x ) + bg( x ) + . . .) dx = a f ( x ) + bg( x ) . . . dx
Z

dx f ( x ) =

f ( x )dx

(6.34)

Linearity:
Z b
a

(c f ( x ) + dg( x )) dx = c

Reversal:

Z b
a

Zero length:

Z b

f ( x )dx =

Z a
a

Z a
b

f ( x )dx + d

Z b
a

g( x )

f ( x )dx

f ( x )dx = 0

(6.35)

(6.36)

(6.37)

Additivity:
Z c
a

f ( x )dx =

Z b
a

f ( x )dx +

Z c
b

f ( x )dx

(6.38)

Product rules:
1
( f ( x ))2 + C
2
Z

f 0 ( x ) f ( x )dx =

f 0 ( x ) g( x )dx = f ( x ) g( x )

Quotient rule:
Z

(6.39)
f ( x ) g0 ( x )dx

f 0 (x)
dx = ln | f ( x )| + C
f (x)

(6.40)

(6.41)

Gau theorem The integral over the area of the divergence of a vector field f is equivalent to the boundary integral, , over the local normal (to the boundary), n, dotted with
f:
Z
Z
dA f =

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ds n f .

(6.42)

CHAPTER 6. BASIC CALCULUS AND ALGEBRA REVIEW

6.2

Linear algebra

TO BE ADDED: Matlab conventions for mathematical operations such as dot and cross
products.

6.2.1

The dot product

We will make use of the dot product, which is defined as

n

c = ab =

a i bi ,

(6.43)

i =1

where a and b are vectors of dimension n (n-dimensional, geometrical objects with a direction and length, like a velocity) and the outcome of this operation is a scalar (a regular
number), c. In eq. (6.43), in=1 means sum all that follows while increasing the index i
from the lower limit, i = 1, in steps of of unity, to the upper limit, i = n. In the examples
below, we will assume a typical, spatial coordinate system with n = 3 so that
a b = a1 b1 + a2 b2 + a3 b3 ,

(6.44)

where 1, 2, 3 refer to the vector components along x, y, and z axis, respectively (ADD
FIGURE HERE). In the Einstein summation convention, we would rewrite in=1 ai bi
simply as ai bi , where summation over repeated indices is implied, i.e. the is not written.
When we write out the vector components, we put them on top of each other

a1
ax
a = a2 = a y
(6.45)
a3
az
or in a list, maybe with curly brackets, like so: a = { a1 , a2 , a3 }. Here, we will use a bold
font a to denote vectors as opposed to scalar a, but another common form is ~a, and on a
blackboard, you might also see vectors written as a because thats easier.
We can write the amplitude (or: length, L2 norm) of a vector as
s
q
q
n
2
2
2
2
| a| = ai = a1 + a2 + a3 = a2x + a2y + a2z .
(6.46)
i

For instance, all of the basis vectors defining the Cartesian coordinate system, e x , ey , and
ez have unity length by definition, |ei | = 1. Those ei vectors point along the respective
axes of the Cartesian coordinate system so that we can assemble a vector from its components like
a = { a x , ay , az } = a x e x + ay ey + az ez .
(6.47)
For a spherical system, the er , e , and e unity vectors can still be used to express vectors
but the actual Cartesian components of ei depend on the coordinates at which the vectors
are evaluated.
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We can restate eq. (6.43) and give another definition of the dot product,
a b = | a||b| cos

(6.48)

where is the angle between vectors a and b. The meaning of this is that if you want to
know what component of vector a is parallel to b, you just take the dot product. Say, you
have a velocity v and want the normal velocity vn along a vector n with |n| = 1 that is
oriented at a 90 angle (perpendicular) to some plate boundary, you can use vn = v n.
Also, eq. (6.47) only works because the basis vectors ei of any coordinate system are,
by definition, orthogonal (at right angle, perpendicular, at = 90 ) to each other and
ei e j = 0 for all i 6= j. Likewise, ei ei = 1 for all i since a a = | a|2 , and basis vectors
have unity length by definition. Using the Kronecker
ij = 1

for

i = j,

and

ij = 0

for

i 6= j,

(6.49)

we can write the conditions for the basis vectors as

ei e j = ij .

6.2.2

(6.50)

Vector or cross product

This operation is written as a b or a b and its result is another vector

c = ab

(6.51)

that is at a right angle to both a and b (hence the right-hand-rule, with thumb, index, and
middle finger along a, b, and c, respectively). vector cs length is given by

|c| = | a b| = | a||b| sin ,

(6.52)

that is, c is largest when a and b are orthogonal, and zero if they are parallel. Compare
this relationship to eq. (6.48).
In 3-D,

a y bz a z by
c = a b = a z b x a x bz
(6.53)
a x by a y b x
(note that there is no i component of a or b in the i component of c, this is the aforementioned orthogonality property).
An example for a cross product is the velocity v at a point with location r in a body
spinning with the rotation vector , v = r. The rotation vector is different from,
e.g., r in that has a spin (a sense of rotation) to it (the other right-hand-rule, where your
thumb points along the vector and your fingers indicate the counter-clockwise motion).
ADD FIGURE

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CHAPTER 6. BASIC CALCULUS AND ALGEBRA REVIEW

6.2.3

Matrices and tensors

A n m matrix is a rectangular table of elements (or entries) with n rows and m columns
which are filled with numbers. For example, if A is 3 3,

a xx a xy a xz
a11 a12 a13
A = ayx ayy ayz or a21 a22 a23 .
(6.54)
a31 a32 a33
azx azy azz
You will see matrices printed like so A, with the blackboard version being double underlining like A. The elements are referred to as aij where i is the row and j the column.
Matrices can be added and or multiplied.
Multiplication of matrix with a scalar

f a xx
a xx a xy a xz
f A = f aij = f ayx ayy ayz = f ayx
f azx
azx azy azz

f a xy
f ayy
f azy

f a xz
f ayz
f azz

Multiplication of a matrix with a vector

cx
a xx a xy a xz
bx
a xx bx + a xy by + a xz bz
cy = ayx ayy ayz . by = ayx bx + ayy by + ayz bz
cz
azx azy azz
bz
azx bx + azy by + azz bz
or
ci =

aij bj .

(6.55)

(6.56)

(6.57)

Multiplication of two matrices works like this:

C = AB
cij = aik bkj ,

(6.58)
(6.59)

where k goes from 1 to the number of columns in A, which has to be equal to the number
of rows in B. Note that, in general, AB 6= BA!
Special types of matrices and matrix operations
Quadratic matrices Have n n rows and columns. All simple physical tensors, such as
stress or strain, can be written as quadratic matrices in 3 3.
Identity matrix = I, iij = ij , i.e. this matrix is unity along the diagonal, and zero for
all other elements.
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CHAPTER 6. BASIC CALCULUS AND ALGEBRA REVIEW

Trace The trace of a n n matrix A is the sum of its diagonal elements
n

tr (A) =

aii .

(6.60)

i =1

Determinant The determinant for a 2 2 matrix is computed as

det(A) = a11 a22 a12 a21

(6.61)

and is a measure of area change. For 3 3,

det(A) = a11 ( a22 a33 a23 a32 )
a12 ( a21 a33 a23 a31 )
+ a13 ( a21 a32 a22 a31 )

(6.62)

(note how the 3 3 determinant is assembled from a pattern of 2 2 determinants; for

n > 3, a correspondingly more complicated formula applies.
ADD FIGURE
Vector cross product based on the determinant The cross product c = a b (eq. 6.53)
can also be written as the determinant of the matrix

e x ey ez
a x ay az
(6.63)
b x by bz
Invariants The trace
IA = tr (A) = ai i

(6.64)

I I IA = det(A)

(6.65)

and determinant
of a matrix A are two of the three invariants, i.e. properties of a tensor (expressed as a
matrix) that are independent of a coordinate system. The third is the second invariant,
I IA = a11 a22 + a11 a33 + a22 a33 a212 a213 a223 .

(6.66)

These expressions arise when finding the eigenvectors and values of a tensor, eq. (6.71).
Transpose of a matrix
row and column.

(AT )ij = aijT = a ji , i.e. the transpose has all elements flipped by

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CHAPTER 6. BASIC CALCULUS AND ALGEBRA REVIEW

Inverse of A, A1

: The inverse of a matrix is defined via

A1 A = AA1 = I.

(6.67)

If the inverse exists, then (A1 )1 = A, (AT )1 = (A1 ) T , and (AB )1 = B 1 A1 . The
inverse only exists if det(A) 6= 0.
Orthogonal or rotation matrices: For those matrices,
AAT = AT A =

(6.68)

holds.
Eigenvalues and eigen vectors: Any n n symmetric matrix A has n eigen vectors vi
that correspond to real eigenvalues i such that
Avi = i vi

(6.69)

An example is the stress matrix which can be written in the principal axes system, where
the eigen vectors of the Cartesian representation of the stress matrix are the principal axes.
Eigenvalues can be found using
det(A I ) = 0

(6.70)

and eigen vectors subsequently by using the first property, which leads to
det(A I ) = 3 + IA 2 I IA + I I IA = 0.

(6.71)

If a symmetric matrix A is transformed into the principal axes system, A0 , there are no
off-diagonal elements

a xx a xy a xz
a1 0 0
A = ayx ayy ayz A0 = 0 a2 0
(6.72)
azx azy azz
0 0 a3
where the a1 , a2 , and a3 correspond to the three eigenvalues i . (The coordinate system
reference of A0 is then contained in the orientation of the eigen vectors vi .) For a matrix in
the principal axis system, the invariants are very easily computed:
tr (A0 ) = IA0 = IA = a1 + a2 + a3
I IA0 = I IA = a1 a2 + a1 a3 + a2 a3
0
det(A ) = I I IA0 = I I IA = a1 a2 a3 .

(6.73)
(6.74)
(6.75)

See also sec. 7.2 for definitions of invariatns using deviators, such as for the deviatoric
stress tensor.
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CHAPTER 6. BASIC CALCULUS AND ALGEBRA REVIEW

Matrix decomposition Any quadratic tensor A can be decomposed into a symmetric
part As (for which aijs = asji ) and an anti-symmetric part Aa (for which aija = a aji ) like
A = As + Aa (Cartesian decomposition). In the case of the deformation matrix F , we call
the symmetric part strain E (the infinitesimal strain tensor, ), and the anti-symmetric
part corresponds to a rotation R. The polar decomposition is also of interest; we can write
F = RU = V R where R is a rotation matrix and U and V are the right- and left-stretch

1/2
matrices, respectively, and V = F F T
. The left-stretch matrix describes the deformation in the rotated coordinate system after the rotation R has been applied to the body.

6.2.4

Tensors

The stress and strain are examples of second order (rank r = 2) tensors which, for
n = 3, 3-D operations, have 3r components and can be written as n n matrices. You will
see tensors printed like so E, and the blackboard version again double underlining like ,
making no distinction between tensors and matrices.
Tensors in a Cartesian space are defined by their properties under coordinate transformation. If a quantity v remains intact under rotation to a new coordinate system v0 such
that
vi0

= Lij v j =

Lij v j

(6.76)

j =1

holds, then v, a vector, is a first order tensor. Lij may be, for example, a rotation matrix. Likewise, a second order tensor T is defined by remaining intact after rotation into
another coordinate system where it is expressed as T 0 such that
Tij0 = Lik Tkl L jl =

Lik Tkl L jl = LT LT
k

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(6.77)

Chapter 7
Continuum mechanics review
We will assume some familiarity with continuum mechanics as discussed in the context
of an introductory geodynamics course; a good reference for such problems is Turcotte and
Schubert (2002). However, here is a short and extremely simplified review of basic continuum mechanics as it pertains to the remainder of the class. You may wish to refer to our
math review if notation or concepts appear unfamiliar, and consult chap. 1 of Spiegelman
(2004) for some clean derivations.
TO BE REWRITTEN, MORE DISCUSSION ADDED.

7.1

Definitions and nomenclature

Coordinate system. x = { x, y, z} or { x1 , x2 , x3 } define points in 3D space. We will

use the regular, Cartesian coordinate system throughout the class for simplicity.
Note: Earth science problems are often easier to address when inherent symmetries
are taken into account and the governing equations are cast in specialized spatial
coordinate systems. Examples for such systems are polar or cylindrical systems in
2-D, and spherical in 3-D. All of those coordinate systems involve a simpler description of the actual coordinates (e.g. {r, , } for spherical radius, co-latitude, and
longitude, instead of the Cartesian { x, y, z}) that do, however, lead to more complicated derivatives (i.e. you cannot simply replace /y with /, for example). We
will talk more about changes in coordinate systems during the discussion of finite
elements, but good references for derivatives and different coordinate systems are
Malvern (1977), Schubert et al. (2001), or Dahlen and Tromp (1998).
Field (variable). For example T ( x, y, z) or T ( x) temperature field temperature
varying in space.
Indexed variables. For example, the velocity field v( x) = vi with i = 1, 2, 3 implies
{v1 , v2 , v3 }, i.e. three variables that are functions of space x = { x1 , x2 , x3 }.
188

CHAPTER 7. CONTINUUM MECHANICS REVIEW

Repeated indices indicate summation over these components (also called Einstein
summation convention).

vi
xi

with

i = 1, 2, 3

implies

xii

i =1

v1 v2 v3
+
+
x1 x2 x3

(7.1)

In a Eulerian frame one uses a reference system for computations that is fixed in
space, for example a computational box in which we solve for advection of temperature T in a velocity field v. Local changes in, e.g., temperature are then given
by
T
T
T
DT
=
+ v T =
+ vi
,
(7.2)
Dt
t
t
xi
where D/Dt is the total derivative that we would experience if we were to ride on
a fluid particle in the convection cell (Lagrangian reference frame). D/Dt takes into
account local changes in a property with time (e.g. due to radioactive heating for T)
as well as advection of temperature anomalies by means of v in and out of our local
observation point.
Tensor = indexed variable + the rule of transformation to another coordinate system.
Traction = a force per unit area acting on a plane (a vector).
Mean stress (= pressure, p): p = = ii /3 = tr ( )/3
Mean strain: = ii /3 = tr ()/3 = (also called dilatation).
Traction/stress sign convention. Compression is negative in physics, but usually
taken positive in geology. Pressure is always positive compressive.

7.2

Stress tensor

A matrix, two indexed variables, tensor of rank two, :


ij =

11 12
21 22

ij

11 12

21 22
=
31 32

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(2D)

13
23 (3D).
33

(7.3)
(7.4)

CHAPTER 7. CONTINUUM MECHANICS REVIEW

Meaning of the elements: Each row are components of the traction vectors acting on
the coordinate plane normal to the respective coordinate axis, the diagonal elements
are normal stresses, and off-diagonal elements are shear stresses.
ij : force/area (traction) on the i plane (plane with normal aligned with the i-th
coordinate axis) along the j direction.
Special properties: Symmetric, i.e. ij = ji . This means that only six components
of need to be stored during computations since the other three can be readily
computed. Note: There are different convention for the order of storing elements
of (e.g. diagonal elements first, then off-diagonal; alternatively, upper right hand
side ordering within, for example, a finite element program).
Cauchys formula: if you multiply the stress tensor (treated as a matrix) by a unit
vector, n j , which is normal to a certain plane, you will get the traction vector on this
plane (see above):
3

T(n)i = n = ij n j =

ij n j

(7.5)

j =1

In a model, the stress tensor is usually computed by solving the equilibrium equations.
Note: The number of equilibrium equations is less than the number of unknown
stress tensor components.
Stress deviator
We often decompose the stress tensor, , into a hydrostatic pressure, p, which is
minus the mean stress tensor, , and defined as

I
1
p = = tr ( ) = ii = ,
3
3
3

(7.6)

where I is the first invariant, eq. (6.64). The deviator, or deviatoric stress, is defined
as
ij = ij ij = ij + ij p.
(7.7)
The deviatoric stress tensor invariants of are typically denoted as J (as opposed to

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CHAPTER 7. CONTINUUM MECHANICS REVIEW

I for the full stress tensor, ), and given by
J = J1 = ii = 0

1 2
2
2
J J = J2 =
+ 2 + 3
2 1
i
1h
=
(1 2 )2 + (2 3 )2 + (3 1 )2
6
1 2
=
I I I
3
J J J = J3 = 1 2 3 .

(7.8)
(7.9)
(7.10)
(7.11)
(7.12)

The equivalent stress or van Mises stress is defined as

r h
i
p
1
2
2
2
e = 3J2 =
(1 2 ) + (2 3 ) + (3 1 ) .
2

7.3

(7.13)

Strain and strain-rate tensors

A matrix, two indexed variables, tensor of rank two, like the stress matrix.
Meaning of the elements: Diagonal elements are elongation (rate), i.e. the relative
changes of length in coordinate axes directions), off-diagonal elements are shears,
i.e. deviations from 90 of the angles between lines coinciding with the coordinate
axes directions before deformation.
Special properties: symmetric.
Strain and strain-rate tensors are a measure of the infinitesimal (small, of order %,
as opposed to finite, i.e. large) deformation (rate). Strain and strain-rates connect to
stress (forces) via the rheological (constitutive) relationships.
Computed from the spatial gradients of displacements u and velocities v for strain
and strain-rate, respectively.

ij
ij

ui u j
+
x j
xi

v j
1 vi
=
+
2 x j xi

1
=
2

1
2
1
2

v1
x1

v2
 x1
v3
x1

+
+

(7.14)
(7.15)
1
2

v1
x2 
v1
x3

v1
x2 +
v2
 x2
1 v3
2 x2 +

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v2
x1

v2
x3

1
2
1
2

v1
+
 x3
v2
x3 +
v3
x3

v3
x1 
v3
x2

(7.16)

CHAPTER 7. CONTINUUM MECHANICS REVIEW

Note: The number of velocity components is smaller than the number of strain rate
components.
Note: Engineering strain, , is often used by commercial finite element packages
and = 2 xy .

7.4

Constitutive relationships (rheology)

A functional relationship between second rank tensors for kinematics (,

) and dynamics (forces, ). For example,
Elastic rheology: ij = kk ij + 2 ij
Incompressible viscous rheology: ij = pij + 2 ij
Maxwell visco-elastic rheology (for deviators): ij =

ij
2

+ 2ij

Here, , are elastic moduli (for an isotropic medium, there are two (bulk and shear)
independent moduli which can be related to all other commonly used parameters
such as Poissons ratio). is (dynamic, shear) viscosity, bulk viscosities are usually
assumed infinite. Sometimes, kinematic viscosity = / is used.
To solve a problem starting from the equilibrium equations for force balance, one
can replace stress by strain (rate) via the constitutive law, and then replace strain
(rate) by displacement (velocities). This results in a closed system of equations
in fundamental variables, meaning that the number of equations is equal to the
number of unknowns, the basic displacements (velocities).
Material parameters for solid Earth problems can ideally be obtained by measuring
rheology in the lab. Alternatively, indirect inferences from seismology or geodynamic modeling augmented by constraints such as post-glacial rebound need to be
used.
There are three major classes of rheologies:
Reversible elastic rheology at small stresses and strains over short time scales.
Irreversible fluid flow (creep) at large strains and over long time scales. Examples are Newtonian viscous (rate-independent) or power-law (rate/stress
dependent) rheology; usually thermally activated. Intermediate stress levels.
Rate-independent (instantaneous), catastrophic yielding at large, limit stresses.
Pressure sensitive, often temperature independent. Also called plastic, or frictional (brittle), behavior. Important for cold material over long time-scales.

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CHAPTER 7. CONTINUUM MECHANICS REVIEW

7.5
7.5.1

Deriving a closed system of equations for a problem

Conservation laws

Conservation of mass (continuity equation)

(vi )
+ (v) =
+
= 0,
t
t
xi

(7.17)

where is density and v velocity. For an incompressible medium, this simplifies to

3
vi
v
= i = 0.
xi
xi
i =1

v = 0 or

(7.18)

In 2D, the incompressibility constraint can be incorporated by solving for a stream function
(see the Lorenz problem) instead of the actual velocities. If, instead, the fundamental
variables v are solved for, special care needs to be taken to ensure eq. (7.18) holds.
Conservation of momentum (equilibrium force balance)
Dv
= + g,
Dt

(7.19)

or
Dvi
=
Dt

vi
v
+ vj i
t
xj

ij
+ gi
x j

(7.20)

where g is gravitational acceleration.

Conservation of energy
E
E
+ vj
t
xj

qi
= Q
xi

(7.21)

where E is energy, qi the energy flux vector, and Q an energy source (heat production).

7.5.2

Thermodynamic relationships

Energy (heat) flux vector vrs. temperature gradient (Ficks law)

q = k T

(7.22)

or
qi = k

T
xi

where k is the thermal conductivity.

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(7.23)

CHAPTER 7. CONTINUUM MECHANICS REVIEW

Equation of state 1 (caloric equation)
E = c p T

(7.24)

where c p is heat capacity, and T is temperature. If all material parameters are constant
(homogeneous medium), we can then write conservation of energy as

or

DT
T
=
+ v T = 2 T + H
Dt
t

(7.25)

T
T

2 T
+ vj
=
T+H = 2 +H
t
x j
xi xi
i xi

(7.26)

with H = Q/ and the thermal diffusivity

=

k
.
c p

(7.27)

Equation of state 2: relationships for the isotropic parts of the stress/strain tensors
= f ( T, p)

(7.28)

where p is pressure (note: = 0 kk ).

Equation of state 3: Boussinesq approximation assumes the material is incompressible
for all equations but the momentum equation where density anomalies are taken to be
temperature dependent
= 0T,
(7.29)
with the thermal expansivity and the density difference from reference state 0 for
temperature difference T from reference temperature T.

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CHAPTER 7. CONTINUUM MECHANICS REVIEW

7.6

Summary: The general system of equations for a continuum media in the gravity field.
vi
+
= 0
t
xi
!
ij
vi
vi

+ vj
=
+ gi
t
xj
x j
!
q
E
E
+ vj
+ i = Q
t
xj
xi
E = c p T
= f ( T, P)
ij = R( ij , ij )
T
qi = k
xi

(7.30)
(7.31)
(7.32)
(7.33)
(7.34)
(7.35)
(7.36)

where is density, vi velocity, gi gravitational acceleration vector, E energy, qi heat flux

vector, Q an energy source (heat production, e.g. by radioactive elements), c is heat capacity, T temperature, p pressure and k thermal conductivity. R indicates a general constitutive law.
Known functions, tensors and coefficients:

gi , c p , f (. . .), 0 , R(. . .), and k

Unknown functions: , vi , p, ij , qi , and T. The number of unknowns is thus equal to

the number of equations.

7.6.1

Example: The Stokes system of equations for a slowly moving

incompressible linear viscous (Newtonian) continuum
vi
=0
xi

0 c p

ij
+ 0 gi = 0
x j
!



T
T
T
+ vj
=
k
+ 0 Q
t
xj
xi
xi
ij
2
ij = pij + ij
ij =

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(7.37)
(7.38)
(7.39)
(7.40)
(7.41)

CHAPTER 7. CONTINUUM MECHANICS REVIEW

Major simplifications: No inertial (D/Dt) terms (infinite Prandtl number, see nondimensional analysis), incompressible flow, linear viscosity.

7.6.2

2D version, spelled out

Choice of coordinate system and new notation

 for 2D: 
xx xz
gi = {0, g}, xi = { x, z}, vi = {v x , vz }, ij =
(zx = xz ).
zx zz
The 2D Stokes system of equations (the basis for basically every mantle convection/lithospheric
deformation code):
v x vz
+
= 0
x
z
xx xz
+
= 0
x
z
xz zz
+
g = 0
x
z
v x
x
vz
zz = p + 2
z 

v x vz
+
xz =
z
x

 2


T
T
T
T 2 T
0 c p
+ vx
+ vz
= k
+ 2 + 0 Q
t
x
z
x2
z
xx = p + 2

USC GEOL557: Modeling Earth Systems 196

(7.42)
(7.43)
(7.44)
(7.45)
(7.46)
(7.47)
(7.48)

Chapter 8
Introduction to MATLAB
Reading
Spencer and Ware (2008), secs. 1-7, 9-9.3, 12-12.4.
For reference: Matlab online help desk

8.1

Introduction

Matlab is commercial software that provides a computing environment that allows for
sophisticated ways of developing and debugging computer code, executing programs,
and visualizing the output. Matlab is also a computer language (sort of a mix between
C and Fortran) and this exercise for you to work through is mainly concerned with some
of the language aspects that we will use extensively throughout the book. Please read
through the more comprehensive and verbose Matlab Intro and familiarize yourself with
Matlab.
We will assume that your Windows, Mac, or Linux machine has Matlab installed.
After starting up the program with the graphical user interface enabled, you will be presented with a number of windows, including an interactive window (shell) where you
can type in commands as we indicate below. Please also familiarize yourself with the
other components of the development environment, such as the built-in editor for Matlab
programs, which are called m-files, so that you can be more efficient in writing and debugging codes. There are numerous Matlab-provided help resources accessible through
the environment, including video tutorials, access to the help pages, along with extensive
documentation on the web.
Also note that there is a free clone of Matlab called octave. Given that Matlab often
uses freely available computational routines underneath the hood, it was fairly easy to
reproduce the computational basics of Matlab. However, the Matlab people also added
a bunch of proprietary visualization tools which are not available in octave. Another
alternative is to use the freely available Python language and its MatPlotLib package, but
we will not have time to explore such intriguing options.
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CHAPTER 8. INTRODUCTION TO MATLAB

MATLAB is entirely vector or linear algebra based. It is therefore useful to briefly
review some basic linear algebra.

8.2

Useful linear algebra (reprise)

Lets define a vector b as:

b=

5 10 17

and a 3 by 2 matrix D as:

1 2
D= 4 3
5 6
The transpose (denoted with T ) is given by:


1 4 5
T
D =
2 3 6

5
b T = 10
17
Matrix-vector multiplication:
D T bT =

1 4 5
2 3 6



5
10 = 130
142
17

Vector-vector multiplication (dot product):

bb T =

5


5 10 17 10 =
17

414

Matrix-matrix multiplication:
DT D =

1 4 5
2 3 6



1 2
4 3 = 42 44
44 49
5 6

If you dont know whats going on here, and what the rules for such multiplications
are, please consult sec. 6.
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CHAPTER 8. INTRODUCTION TO MATLAB

In numerical modeling, or in geophysical inverse problems, we frequently end up
with linear system of equations of the form:
Ac = Rhs
where A is a n m matrix and Rhs is a n 1 vector whose coefficients are both known,
and c is a m 1 vector with unknown coefficients. If we take A = D and Rhs = b T , c is
(check!):
 
1
c =
2

8.3
8.3.1

Exploring MATLAB
Getting started

To start the program on the Linux machines type Matlab at the UNIX prompt, or click on
the relevant Windows item. The MATLAB environment, including the command window, starts. (If you want to avoid bringing up the whole environment on Linux, use
matlab -nojvm for no-java-virtual-machine.)
1. Type 2+3. Youll get the answer. Type 2 + 3*9 + 5^2.
2. Type the following commands and note how Matlab deals with vectors
>>x=3
>>x=3;
>>x
>>y=x^2
>>x = [2, 5.6]
>>y=2 * x;
>>y=x^2;
>>y=x.^2
>>y = [3, 4]
>>x * y
>>x * y
>>x .* y
>>pi
>>a=x*pi
3. Type demo and explore some examples. Also note the introductory tutorial videos
you might want to watch later.
4. Type help. You see a list of all help functions. Type help log10 to get information
about the log10 command. Type help logTAB where logTAB means typing log and then
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CHAPTER 8. INTRODUCTION TO MATLAB

pressing the TAB key without adding a white space. Notice the command completion
selection within the Matlab shell. Note also that you can use the Up and Down arrows to
retrieve previous commands and navigate through your command history, and pUP will
bring up the last command line that started with a p. MATLAB also offers a graphical user
interface (GUI) to explore all of its features: click help in the menu bar, then product help.
Moreover, the function browser offers you a graphical way to find the suitable function
for what you are trying to accomplish. The function browser can be found under help,
functions browser, or can be brought up using a keyboard shortcut: Shift+F1.

8.3.2

Vectors/arrays and plotting

5. Create an array of x-coordinates

>>dx=2
>>x=[0:dx:10]
6. Y-coordinates as a function of x
>>y=x.^2 + exp(x/2)
7. Plot it:
>>plot(x,y)
8. Exercise: make a plot of a parametric function. What is it?
>>t=0:.1:2*pi
>>x=sin(t); y=cos(t); plot(x,y,o-)
>>xlabel(x)
>>ylabel(y)
>>axis image, title(fun with plotting)
Exercise: make an ellipse out of it with short radius 1 and long radius 2. Also change the
color of the curve to red.

8.3.3

Matrices and 3D plotting

First create x and y arrays, for example: x=[1:5];y=x;

9. Play with matrix product of x and y. Typing
>>x.*y
performs an element by element product of the two vectors (note the dot)
>>x
returns the transpose
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CHAPTER 8. INTRODUCTION TO MATLAB

>>x*y.
the dot or scalar product of two matrices
>>x*y
the matrix product - returns a matrix.
Some commands (try them):
>>ones(1,5), zeros(6,1)
>>length(x)
>>whos
10. Create 2D matrices.
A useful function is meshgrid, which creates 2D arrays:
>>[x2d,y2d] = meshgrid(0:.1:2*pi,1:.1:2*pi)
You can get the size of an array with:
>>size(x2d)
11. Plotting of the function sin(x2d.*y2d).
>>z2d = sin(x2d.*y2d)
>>surf(x2d,y2d,z2d)
>>mesh(x2d,y2d,z2d)
>>contour(x2d,y2d,z2d), colorbar
>>contourf(x2d,y2d,z2d), colorbar
Some cool stuff (1)
>>[x2d,y2d,z2d] = peaks(30);
>>surf(x2d,y2d,z2d); shading interp
>>light; lighting phong
Some cool stuff (2): perform the example given at the end of
>>help coneplot;
Other useful commands:
clf: clear current active figure
close all: close all figure windows

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CHAPTER 8. INTRODUCTION TO MATLAB

8.3.4

Matlab scripting

By now you must be tired from typing all those commands all the time. Luckily there is a
Matlab script language which basically allows you to type the commands in a text editor.
Matlab scripts are text files that end with the suffix .m.
12. Use the built in editor (or another text editor e.g. Emacs) and create a file mysurf.m.
13. Type the plotting commands from the last section in the text file. A good programming convention is to start the script with clear, which clears the memory of MATLAB.
Another good programming practice is to put lots of comments inside a Matlab script. A
comment can be placed after %, e.g. % this is my first Matlab script.
14. Start the script from within MATLAB by going to the directory where the text file
is saved. Type mysurf from within MATLAB and you should see the plot pop up in a new
figure window. Alternatively, within the Matlab editor, you can press F5 to run. Also
note that there are various debugging features in the editor that are very helpful, such as
real-time syntax checking and addition of breakpoints.

8.3.5

Loops

Create an array na=100; a=sin(5*[1:na]/na); plot(a).

15. Ask instructions on using for:
>>help for
16. Compute the sum of an array:
>>mysum=0; for i=1:length(a), mysum = mysum + a(i); end; mysum
17. Compare the result with the MATLAB inbuilt function sum
>>sum(a)
18. Exercise. Create x-coordinate array: dx=0.01; y=cos([0:dx:10]). Compute the integral of y=cos(x) on the x-interval 0 < x < 10. Use sum(y) and write a Matlab-script.
Compare it with sin(10), the analytical solution.

8.3.6

Cumulative sum

19. Create a number of sedimentary layers with variable thickness.

>>thickness = rand(1,10); plot(thickness)
20. Compute the depth of the interface between different layers.
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CHAPTER 8. INTRODUCTION TO MATLAB

>>depth(1)=0; for i=2:length(thickness), depth(i) = depth(i-1)+thickness(i);
end; plot(depth)
21. Compare the results with the built in Matlab function cumsum:
>>bednumber=1:length(depth)
>>plot(bednumber,depth,bednumber,cumsum(thickness))
22. What causes the discrepancy? Try to remove it, ask help cumsum

8.3.7

IF command

23. Ask help if. Find maxima of the above array thickness, and compare it with the in
built function max(thickness)

8.3.8

FIND command

24. Ask help find. Find which bed has the maximum thickness:
find(thickness==max(thickness)). Is there a way to do this without invoking the find
command? find out by typing help max
25. Find the number of beds with a maximum thickness less than 0.5.

8.3.9

Matrix operations

26. Exercise: Reproduce the linear algebra exercises in the beginning of this document.
Hint: If you want to solve the system of linear equations Ac=Rhs for c, you can use the
backslash operator: c = A\Rhs

8.3.10

Functions

Matlab allows you to declare functions that return a value and use m-files to store those
functions. If you save
function xs = mysqr(x)
xs = x.^2;
as a mysqr.m in your working directory, you can then use your function just like a regular
Matlab command.
y=[2,3,4]
mysqr(y);

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CHAPTER 8. INTRODUCTION TO MATLAB

8.3.11

Variables and structures

Matlab stores all regular variables as arrays of size 1 1 which are by default of type
double. To write more efficient programs, you might at times consider declaring integers as actual integers.
More importantly, Matlab affords you with the possibility to collect variables that logically belong together into a structure. This variable will hold as many sub-variable as
you want which are each addressed with a .. For example, if dealing with earthquakes,
you might want to use a structure like
quake.lon = 100.1;quake.lat = 120.1;quake.depth = 15;
The benefit of this is that you can now, for example, pass quake to functions and the
function will locally know that quake actually has the components lon, lat, and depth
which can be addressed within the subroutine.
26. Exercise: Write and test function that has two inputs, x and a polynomial. The
polynomial structure should have two entries, the order of the polynomial expansion n
and a vector a with n entries that hold the coefficients such that the function returns
n

y=

a i x n 1

i =1

USC GEOL557: Modeling Earth Systems 204

(8.1)

Chapter 9
Example syllabus as USC GEOL540
2008
As an example for how the textbook can be used for a one semester course, we provide
the syllabus as Numerical Geodynamics was taught at the University of Southern California as GEOL540 in the Fall of 2008. Each week, the class met for a three hour slot
which typically consisted of some formal instruction by means of lectures and joint Matlab problem-set exercises in a computer lab. Some weeks, all class time is spent working
on problem sets. The class culminates in a three week final project part where students are
to either write their own code or combine codes used in class (for example, combine advection and diffusion solvers, and further with a Stokes solver to arrive at a self-contained
convection code).
(a) Introduction (chap. 2)
1.1 Overview of numerical methods in Earth Sciences (sec. 2.1)
1.2 Examples of applications for numerical methods in Earth Sciences (sec. 2.2)
1.3 Computer hardware, Computer Language, Principles of Programming (sec. 2.3)
1.4 Exercise: Matlab programming (sec. 8)
Notes: Introduction Handout, Math Problem set, Matlab
(b) Ordinary differential equations (sec. 3)
2.1 Definition of ODEs (sec. 3.1)
2.2 Initial value problems (sec. 3.2)
2.3 Euler method, Taylor expansions, Accuracy of numerical methods, Midpoint
method, 4th order Runge Kutta. sec. 3.3)
2.4 Exercise: Program and solve Lorentz equations (end of sec. 3.3).
Notes: ODEs Problem set, ODEs
205

CHAPTER 9. EXAMPLE SYLLABUS AS USC GEOL540 2008

(c) Scaling analysis (sec. 2.4); Non-dimensionalization; Non-dimensional numbers (Rayleigh,
Prandtl, Peclet, Reynolds, Deborah). Stokes velocities for Newtonian and nonNewtonian rheology; shear layers.
Notes/problem set: Scaling
(d) Finite differences I (sec. 4.1): 1-D heat equation. Explicit solution of diffusion problems. Stability.
Notes/problem set: Explicit FD
(e) Finite differences II (sec. 4.3): Implicit methods. Crank-Nicolson method. Order of
spatial and temporal accuracy. Stability conditions. Neumann and Dirichlet boundary conditions. Sparse matrices, triangularity. Linear systems of equations. Heat
equation in 1-D.
Notes/problem set: Implicit FD methods
(f) Finite differences III (sec. 4.6): Non-linear equations. Darcy flow equation for
pressure-dependent diffusivity. Two-dimensional heat equation, solution with fully
explicit and fully implicit methods (sec. 4.7). Comparison with analytical solutions.
Notes/problem set: Non-linear and 2-D FD methods
(g) Finite differences IV (sec. 4.9): Advection equation for heat transport. FTCS method
and stability. Lax method, Courant criterion. Upwind schemes. Staggered leapfrog.
Semi-Lagrangian methods. Advection-diffusion combos in 2-D, operator splitting.
Notes/problem set: Advection equations and combos
(h) Finite elements I (sec. 5.1): Introduction to the finite element method. Strong and
weak forms of PDEs. Discretization of domains into finite elements. Shape functions. Bilinear forms. Variational approaches, virtual work. Galerkin method. Onedimensional heat equation example.
Notes: FE Intro
(i) Finite elements II (sec. 5.2): Local and global coordinate systems. Change of variables during integration. Matrix assembly. Solution of linear systems of equations,
direct and iterative methods. LU decomposition, Cholesky. Jacobi, Gauss-Seidel,
Conjugate gradient, and multigrid methods.
Notes: FE Implementation Problem set: 1-D FE implementation and matrix inversion
(j) Finite elements III (sec. 5.5): 2D boundary value problems. Isoparametric elements.
Jacobian; global and element-local coordinates. Numerical integration using Gauss
quadrature. Triangular and quadrilateral shape functions. Meshing using triangles.
Solution of 2-D heat equation.
Notes: FE 2D, time dependent solution Problem set: 2-D FE heat equation
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CHAPTER 9. EXAMPLE SYLLABUS AS USC GEOL540 2008

(k) Finite elements IV (sec. 5.7): Compressible elastic problems. Elastic moduli, plane
stress, plane strain. Gradient operator, elasticity matrix, engineering strain convection. Visualization of stress states, eigensystems.
Problem set: 2-D FE elastic
(l) Finite elements V (sec. 5.9 & 5.8): Compressible and incompressible elasticity and
Stokes flow. Mixed formulation with discontinuous pressure. Powell-Hestenes iterations.
Notes: Incompressible elastic/fluid problem Problem set: 2-D FE incompressible
Stokes
(m) Joint project work in computer lab.

USC GEOL557: Modeling Earth Systems 207

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USC GEOL557: Modeling Earth Systems 212

Index
LU decomposition, 125
P-wave velocity, 109
S-wave velocity, 109
d - form implementation, 173
v - form implementation, 172
alternating direction implicit, 79
normal modes, 21
unconditionally stable, 65
wave equation, 21
Euler method, 42
explicit finite difference, 63
sparseness, 68
Lagrangian reference frame, 189
Newton-Rhapson iterations, 73
Picard iterations, 73
conditionally stable method, 64
explicit finite difference method, 59
plane strain approximation, 153
acoustic wave propagation, 104
adaptive mesh refinement, AMR, 146
advection, 83
Advection equations, 83
anti derivatives, 180
backward difference, 54
banded matrix, 117
bandwidth, 117
big endian, 25
bilinearity, 114
Boundary conditions, 66
boundary conditions, 20
boundary value problems, 20
bulk modulus, 156

bulk sound velocity, 105

C, 26
C++, 26
Cauchy, 20
Cauchys formula, 190
central difference, 55
Chain rule, 177
chain rule, 121
change of variables, 121
checkerboard modes, 166
Cholesky, 126
Cholesky decomposition, 125
computer program, 27
conforming elements, 166
Conjugate gradient, 128
Conservation of energy, 193
Conservation of mass, 193
Conservation of momentum, 193
Constitutive relationships, 192
Courant criterion, 87
Courant number, 86
course web site, 8
Crank-Nicolson, 64
Crank-Nicolson method, 70
cross product, 183
curl, 179
Deborah number, 36
Delaunay mesh, 146
Delaunay triangulation, 146
derivatives, 176
Determinant, 185
deviatoric strain-rate tensor, 163
213

INDEX
deviatoric stress, 163
deviatoric stress tensor invariants, 190
diagonally dominant, 127
diffusion, 83
diffusion equation, 21
dilation, 150
Direct solvers, 125
Dirichlet, 20
Dirichlet boundary conditions, 66
discretization, 115
Distributed memory, 25
divergence, 179
divergence operator (finite elements), 159
dot product, 182
dynamic viscosity, 156
eigenmodes, 64
Eigenvalues and eigen vectors, 186
Elastic rheology, 192
elements, 111
elliptic PDEs, 19
engineering strain, 152
equivalent stress, 191
essential boundary conditions, 111
Eulerian (fixed grid) system, 83
Eulerian frame, 189

grid dispersion, 105

Hardware, 25
heat conduction equation, 58
heat equation, 122
hydrostatic pressure, 156
hyperbolic PDEs, 19
Implicit finite difference, 64
incompressibility, 156
Incompressible viscous rheology, 192
initial conditions, 20
Initial Value Problems, 41
Integrals, 180
Invariants, 185
Jacobi method, 126
Jacobian, 139
Kronecker , 183

Ficks law, 193

fictitious boundary points, 71
Finite differences, 53
Finite elements, 110
Fortran, 26
forward FD derivative, 54
forward time, centered space (FTCS), 63

Lagrange methods, 164

Lame coefficients, 107
Lam`e parameter, 150
LAPACK, 26
Laplace, 179
Lax method, 86
least squares solution, 126
Linear inverse problems, 19
linear shape functions, 140
linear systems of equations, 125
load vector, 116
local support, 117
Loops, 202
Lorenz equations, 45

Galerkin method, 115

Galerkin-Lax-Wendroff, 87
Gau Theorem, 157
Gauss-Seidel method, 127
Gaussian quadrature, 138
generalized Hookes law, 149
Generalized Trapezoidal Method, 172
gradient operator, 135, 178
gradient operator (finite elements), 159

material parameter matrix, 135

Mathematica, 26
MATLAB, 197
Matrix decomposition, 187
Maxwell time, 36
midpoint method, 43
Mixed formulation (for Stokes flow), 166
Modified Crank-Nicolson, 89
MPDATA, 91

USC GEOL557: Modeling Earth Systems 214

INDEX
Multigrid method, 128
Multiplication of a matrix with a vector, 184
Multiplication of matrix with a scalar, 184
Multiplication of two matrices, 184

Rayleigh-Benard problem, 33
Reynolds number, 36
Rikitake dynamo, 48
Runge-Kutta, 44

natural boundary conditions, 111

NETLIB, 26
Neumann, 20
Neumann boundary condition, 66
Non-dimensionalization, 33
Non-linearities, 73
norm, 182
Numerical integration, 137

Scaling analysis, 32
Schur complement, 167
second invariant, 185
Semi-Lagrangian approaches, 91
shallow water approximation, 105
Shape functions, 115
shape functions, 111
Shared memory, 25
shear modulus, 150
similarity variable, 69
Simpsons rule, 138
small endian, 25
smoothing, 129
source time function, 109
sparse, 125
sparse matrix, 117
Spectral element methods, 23
Spectral methods, 23
spring sliders, 50
stability, 105
Staggered leapfrog, 89
static condensation, 167
stiffness matrix, 116
Stokes equation, 35
Stokes system of equations, 195
Stokes velocity, 37
strain tensor, 191
stream function, 101
streamfunction, 100
Streamline upwind scheme, 88
Stress deviator, 190
Stress tensor, 189
strong form, 111
Successive Over Relaxation (SOR), 127

Octave, 26
operator splitting, 94
order of accuracy, 42
Ordinary differential equations, 19
parabolic PDEs, 19
parameterized convection, 50
Partial differential equations, 19
particle methods, 84
Peclet number, 36
penalty method, 97
penalty methods, 164
Petrov-Galerkin, 115
PETSc, 26
plane strain, 153
plane stress, 153
plane stress approximation, 153
Poissons ratio, 107, 156
Positive definite, 126
positive definite, 118
Powell and Hestenes, 167
Powell and Hestenes iterations, 161
Prandlt number, 34
principal axes, 186
Product rules, 181
prolongation, 130
propogation of SH waves, 105
Python, 26
Rayleigh number, 34

Taylor approximation, 177

Tensors, 187
thermal diffusivity, 21

USC GEOL557: Modeling Earth Systems 215

INDEX
Time-dependent FE methods, 170
time-dependent heat equation, 21
total derivative, 189
Trace, 185
tracer, 84
Trapezoidal rule, 138
trial solutions, 113
tridiagonal, 68
tsunami waves, 105
Two-point Boundary Value Problem, 44
van Mises stress, 191
vectors, 182
visco-elastic rheology, 192
Viscous equivalence, 153
Voigt notation, 150
von Neumann stability, 64
weak form, 114
weak integral form, 111
weighted residual method, 115
Youngs modulus, 150

USC GEOL557: Modeling Earth Systems 216